Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

We establish consistency and asymptotic normality of the quasi-maximum likelihood estimator in the linear ARCH model. Contrary to the existing literature, we allow the parameters to be in the region where no stationary version of the process exists. This implies that the estimator is always asymptotically normal. Copyright The Econometric Society 2004.

MoreLess

Year of publication:	2004
Authors:	Jensen, Søren Tolver ; Rahbek, Anders
Published in:	Econometrica. - Econometric Society. - Vol. 72.2004, 2, p. 641-646
Publisher:	Econometric Society

Online Resource

Check full text access |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005231537