Inconsistency of the MLE and inference based on weighted LS for LARCH models

DOI10.1016/j.jeconom.2010.05.003zbMath1431.62372OpenAlexW2066378766MaRDI QIDQ736696

Christian Francq, Jean-Michel Zakoian

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.05.003

zbMATH Keywords

quasi-maximum likelihoodweighted least-squaresleverage effectconditional homoscedasticity testinglinear ARCH

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (20)

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