The asymptotic convexity of the negative likelihood function of GARCH models

Computational Statistics and Data Analysis

Volumn 50, Issue 2, 2006, Pages 311-331

  Ip, W C ^a   Wong, Heung ^a   Pan, J Z ^b   Li, D F ^b  

^a HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

^b PEKING UNIVERSITY   (China)

Author keywords

Convergence; Convexity; Foreign exchange rates; GARCH; Iterative algorithm; Maximum likelihood estimation

Indexed keywords

ALGORITHMS; COMPUTER SIMULATION; CONVERGENCE OF NUMERICAL METHODS; ESTIMATION; ITERATIVE METHODS; MATHEMATICAL MODELS;

ASYMPTOTIC CONVEXITY; GARCH MODEL; NEGATIVE LIKELIHOOD FUNCTIONS;

ASYMPTOTIC STABILITY;

EID: 24944484535     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2004.08.012     Document Type: Article

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