On asymptotic properties of the QLM estimators for GARCH models
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- Christian Francq & Jean‐Michel Zakoïan, 2012. "Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models," Econometrica, Econometric Society, vol. 80(2), pages 821-861, March.
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More about this item
Keywords
GARCH models; asymptotically stationary process; consistency; asymptotic normality; asymptotic variance matrix.;All these keywords.
JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
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