Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model
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DOI: 10.1016/j.econlet.2017.09.035
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References listed on IDEAS
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Cited by:
- Hong, Yun & Li, Yi, 2020. "Housing prices and investor sentiment dynamics: Evidence from China using a wavelet approach," Finance Research Letters, Elsevier, vol. 35(C).
- Arvanitis, Stelios, 2019. "Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 166-172.
- Stelios Arvanitis & Sofia Anyfantaki, 2020. "On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 341-350, March.
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More about this item
Keywords
Martingale limit theorem; Domain of attraction; Stable distribution; Slowly varying sequence; Non-Stationarity; Gaussian QMLE; Regularly varying rate;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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