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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...
Persistent link: https://www.econbiz.de/10010954427
We generalize the score test for time-varying copula parameters proposed by [Abegaz & Naik-Nimbalkar, 2008] to a setting where more than one-parametric copulas can be tested for time variation in at least one parameter. In a next step we model the daily log returns of the Commerzbank stock using...
Persistent link: https://www.econbiz.de/10009228823
We generalize the results for statistical functionals given by [Fernholz, 1983] and [Serfling, 1980] to M estimates for samples drawn for an ergodic and stationary martingale sequence. In a first step, we take advantage of some recent results on the uniform convergency of the empirical...
Persistent link: https://www.econbiz.de/10008693982
We proof that Hadamard differentiability in addition with usual assumptions on the loss function for M estimates implies differentiability in quadratic mean. Thus both concepts are exchangeable.
Persistent link: https://www.econbiz.de/10008693983