Arbeitspapier
Quasi-maximum likelihood estimation in generalized polynomial autoregressive conditional heteroscedasticity models
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.
- Language
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Englisch
- Bibliographic citation
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Series: IWQW Discussion Papers ; No. 03/2013
- Classification
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Wirtschaft
- Subject
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asymptotic normality
consistency
polynomial augmented GARCH models
quasi-maximum likelihood estimation
- Event
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Geistige Schöpfung
- (who)
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Tinkl, Fabian
- Event
-
Veröffentlichung
- (who)
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Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW)
- (where)
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Nürnberg
- (when)
-
2013
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Tinkl, Fabian
- Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW)
Time of origin
- 2013
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