The ARCH(2) model: Pseudo-maximum estimation and asymptotic results under dependent innovations-Reference-Cited by-同舟云学术

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The ARCH(2) model: Pseudo-maximum estimation and asymptotic results under dependent innovations

Published:2017-10-11 Issue:9 Volume:47 Page:2146-2171
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Kouassi Eugene¹,Soh Patrice Takam²,Donfack Morvan N.³,Bosson Jean Marcelin B.⁴

Affiliation:

1. Resource Economics, West Virginia University, Morgantown, WV, USA

2. Department of Mathematics, University of Montpellier 2, Montpellier, France

3. Department of Economics, University of Laval, Quebec City, Qc, Canada

4. Department of Economics, University Felix Houphouet Boigny (FHB), Abidjan – Cocody, Cote d'Ivoire

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2017.1337142

Reference15 articles.

1. Pseudo maximum likelihood estimation of structural models involving fixed-point problems

2. GARCH processes: structure and estimation

3. On unification of the asymptotic theory of nonlinear econometric models

4. Quasi- and pseudo-maximum likelihood estimators for discretely observed continuous-time Markov branching processes

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