Ling, Shiqing; Zhu, Ke - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-17
This paper studies the self-weighted least squares estimator (SWLSE) of the ARMA model with GARCH noises. It is shown that the SWLSE is consistent and asymptotically normal when the GARCH noise does not have a finite fourth moment. Using the residuals from the estimated ARMA model, it is shown...
