Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

Bernoulli

Volumn 10, Issue 4, 2004, Pages 605-637

  Francq, Christian ^a   Zakoïan, Jean Michel ^b  

^a UNIV LILLE   (France)

^b CREST   (France)

Author keywords

ARMA; Asymptotic normality; Consistency; GARCH; Heteroskedastic time series; Maximum likelihood estimation

Indexed keywords

EID: 33645008897     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/bj/1093265632     Document Type: Article

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