The rate of consistency of the quasi-maximum likelihood estimator

We connect the rate of consistency of the quasi-maximum likelihood estimator in GARCH(p,q) sequences with the number of the moments of the innovations.

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Year of publication:	2003
Authors:	Berkes, István ; Horváth, Lajos
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 61.2003, 2, p. 133-143
Publisher:	Elsevier
Subject:	GARCH(p \| q) sequence Quasi-maximum likelihood Rate of consistency

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319667