A note on the QMLE limit theory in the non-stationary ARCH(1) model
Year of publication: |
2016
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Authors: | Arvanitis, Stelios ; Louka, Alexandros |
Published in: |
Journal of time series econometrics. - Berlin : De Gruyter, ISSN 1941-1928, ZDB-ID 2493596-7. - Vol. 8.2016, 1, p. 21-39
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Subject: | α-stable distribution | slow variation | domain of attraction | MLT with mixed limit | non-stationary ARCH(1) | QMLE | inconsistency | non-tightness | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
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