Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model-Reference-Cited by-同舟云学术

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Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model

Published:2019-02 Issue: Volume:145 Page:166-172
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Arvanitis Stelios^ORCID

Funder

Research Centre of the Athens University of Economics and Business

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference14 articles.

1. A note on the QMLE limit theory in the non-stationary ARCH (1) model;Arvanitis;J. Time Ser. Econom.,2016

2. Stable limits for the Gaussian QMLE in the non-stationary GARCH (1, 1) model;Arvanitis;Econom. Lett.,2017

3. Regular Variation, Vol. 27;Bingham,1989

4. Volatility in equilibrium: Asymmetries and dynamic dependencies*;Bollerslev;Rev. Finance,2012

5. An Introduction to Probability Theory and its Applications: Volumes I & II: Second Edition;Feller,1971

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