In this article, consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) in the class of … GARCH models as special cases. The results are obtained under mild conditions. -- Asymptotic normality ; consistency …

We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series … processes. We formulate primitive conditions for global identification, invertibility, strong consistency, and asymptotic …

examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … was used to analyze the long-run consistency of the naira exchange rate while the time series properties of the data was …

In this article consistency and asymptotic normality of the quasi-maximum likelihood esti- mator (QMLE) in the class of … introduced by (Duan, 1997) which contains many commonly employed GARCH models as special cases. The conditions for consistency … normality ; consistency ; polynomial augmented GARCH models ; quasi-maximum likelihood estimation …