This note can be considered as a continuation of a nice paper from Francq and Zakoian (2012) concerning with strict stationarity testing and estimation of GARCH models. We compute the asymptotic variances of the quasi-maximum likelihood estimators for stationary GARCH models.
On Asymptotic Properties of the QML Estimator for GARCH Models / Cavicchioli, Maddalena. - In: ECONOMICS BULLETIN. - ISSN 1545-2921. - STAMPA. - 33:2(2013), pp. 959-966.
On Asymptotic Properties of the QML Estimator for GARCH Models
CAVICCHIOLI, MADDALENA
2013
Abstract
This note can be considered as a continuation of a nice paper from Francq and Zakoian (2012) concerning with strict stationarity testing and estimation of GARCH models. We compute the asymptotic variances of the quasi-maximum likelihood estimators for stationary GARCH models.
| File | Dimensione | Formato | |
|---|---|---|---|
|
EB-13-V33-I2-P91.pdf
Open access
Tipologia:
Versione pubblicata dall'editore
Dimensione
269.66 kB
Formato
Adobe PDF
|
269.66 kB | Adobe PDF | Visualizza/Apri |
Pubblicazioni consigliate
I metadati presenti in IRIS UNIMORE sono rilasciati con licenza Creative Commons CC0 1.0 Universal, mentre i file delle pubblicazioni sono rilasciati con licenza Attribuzione 4.0 Internazionale (CC BY 4.0), salvo diversa indicazione.
In caso di violazione di copyright, contattare Supporto Iris
