> Details

Tinkl, Fabian [Author]

Quasi-maximum likelihood estimation in generalized polynomial autoregressive conditional heteroscedasticity models

Reference
management

Bookmarks

Remove from
bookmarks

Share this on Whatsapp

Close

Bookmarks



You can manage bookmarks using lists, please log in to your user account for this.
  • Media type: Report; E-Book
  • Title: Quasi-maximum likelihood estimation in generalized polynomial autoregressive conditional heteroscedasticity models
  • Contributor: Tinkl, Fabian [Author]
  • Published: Nürnberg: Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW), 2013
  • Language: English
  • Keywords: asymptotic normality ; consistency ; quasi-maximum likelihood estimation ; polynomial augmented GARCH models
  • Origination:
  • Footnote: Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
  • Description: In this article, consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) in the class of polynomial augmented generalized autoregressive conditional heteroscedasticity models (GARCH) is proven. The result extends the results of the standard GARCH model to the class of polynomial augmented GARCH models which contains many commonly employed GARCH models as special cases. The results are obtained under mild conditions. ; April 18, 2013
  • Access State: Open Access