Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models

DOI10.1016/j.spl.2010.06.007zbMath1203.62155MaRDI QIDQ990922

Ines Lescheb, Abdelouahab Bibi

Publication date: 1 September 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.06.007

zbMATH Keywords

asymptotic normality; strong consistency; least squares estimation; PARMA-PGARCH models; PGARCH models

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M05: Markov processes: estimation; hidden Markov models

Related Items

Composite quantile regression estimation for P-GARCH processes, A conditional least squares approach to PGARCH and PARMA-PGARCH time series estimation, M-estimation for periodic GARCH model with high-frequency data, A note on integrated periodic \textit{GARCH} processes, Estimation and Asymptotic Properties in PeriodicGARCH(1, 1) Models

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