Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/73143
Authors: 
Tinkl, Fabian
Year of Publication: 
2013
Series/Report no.: 
IWQW Discussion Paper Series 03/2013
Abstract: 
In this article, consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) in the class of polynomial augmented generalized autoregressive conditional heteroscedasticity models (GARCH) is proven. The result extends the results of the standard GARCH model to the class of polynomial augmented GARCH models which contains many commonly employed GARCH models as special cases. The results are obtained under mild conditions.
Subjects: 
asymptotic normality
consistency
polynomial augmented GARCH models
quasi-maximum likelihood estimation
Document Type: 
Working Paper

Files in This Item:
File
Size
515.96 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.