Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach

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Publication:869981

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DOI10.1214/009053606000000803zbMath1108.62094arXivmath/0702692OpenAlexW2086546462MaRDI QIDQ869981

Daniel Straumann, Thomas Mikosch

Publication date: 12 March 2007

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0702692

zbMATH Keywords

consistency asymptotic normality invertibility stationarity asymmetric GARCH EGARCH exponential GARCH

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Economic time series analysis (91B84) Applications of stochastic analysis (to PDEs, etc.) (60H30) Random operators and equations (aspects of stochastic analysis) (60H25)

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