Whittle Estimation of Arch Models

For a class of parametric ARCH models, Whittle estimation based on squared observations is shown to be inconsistent and asymptotically normal. Our conditions require the squares to have short memory autocorrelation, by comparison with the work of Zaffaroni (1999), who established the same properties on the basis of an alternative class of models with martingale difference levels and long memory autocorrelated squares

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Year of publication:	[2008]
Authors:	Giraitis, Liudas
Publisher:	[2008]: [S.l.] : SSRN
Subject:	ARCH-Modell \| ARCH model \| Schätztheorie \| Estimation theory \| Zeitreihenanalyse \| Time series analysis

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Extent:	1 Online-Ressource (31 p)
Series:	LSE STICERD Research Paper ; No. EM406
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 2000 erstellt
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012771050