Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model
Stelios Arvanitis, Alexandros Louka
| Year of publication: |
December 2017
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|---|---|
| Authors: | Arvanitis, Stelios ; Louka, Alexandros |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 161.2017, p. 135-137
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| Subject: | Martingale limit theorem | Domain of attraction | Stable distribution | Slowly varying sequence | Non-Stationarity | Gaussian QMLE | Regularly varying rate | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Martingal | Martingale |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2017.09.035 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011904539