Estimating the ARCH parameters by solving linear equations

Journal of Time Series Analysis

Volumn 24, Issue 2, 2003, Pages 127-136

  Bose, Arup ^a   Murherjee, Kanchan ^b  

^a INDIAN STATISTICAL INSTITUTE   (India)

^b NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Arch models; Martingale central limit theorem; Quasi maximum likelihood estimation; Stationary and ergodic process

Indexed keywords

EID: 0141991810     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00296     Document Type: Article

References (11)

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