We consider a rank-based technique for estimating generalized autoregressive conditionally heteroskedastic (GARCH) model parameters, some of which are scale transformations of conventional GARCH parameters. The estimators are obtained by minimizing a rank-based residual dispersion function...

This paper considers maximum likelihood estimation for the moving average parameter θ in an MA(1) model when θ is equal to or close to 1. A derivation of the limit distribution of the estimate θ_LM, defined as the largest of the local maximizers of the likelihood, is given here for the first...