Stable limits of martingale transforms with application to the estimation of GARCH parameters

Annals of Statistics

Volumn 34, Issue 1, 2006, Pages 493-522

  Mikosch, Thomas ^a,b   Straumann, Daniel ^c  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

^b MaPhySto   (Denmark)

^c ETH ZURICH   (Switzerland)

Author keywords

GARCH process; Gaussian quasi maximum likelihood; Infinite variance; Mixing; Regular variation; Stable distribution; Stochastic recurrence equation

Indexed keywords

EID: 33744810886     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/009053605000000840     Document Type: Article

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