Consistency and asymptotic normality of the quasi-maximum likelihood estimator in IGARCH(1,1) and covariance stationary GARCH(1,1) models

Econometrica

Volumn 64, Issue 3, 1996, Pages 575-596

  Lumsdaine, Robin L ^a  

^a NONE

Author keywords

Asymptotic normality; Asymptotic properties; Consistency; GARCH(1,1) and IGARCH(1,1) models; Quasimaximum likelihood estimator

Indexed keywords

ARCH MODEL; ASYMPTOTIC NORMALITY; CONSISTENT ESTIMATOR; COVARIANCE MATRIX; MAXIMUM LIKELIHOOD; TEST STATISTIC;

ESTIMATION;

EID: 0030364024     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.2307/2171862     Document Type: Article

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