Meitz, Mika; Saikkonen, Pentti - 2008
NONLINEAR AR-GARCH MODELS
Mika Meitz and Pentti Saikkonen
Number 396
June 2008
Manor Road Building …, Oxford OX1 3UQ
Parameter estimation in nonlinear AR{GARCH models
Mika Meitz
University of Oxford
Pentti Saikkonen … heteroskedasticity (GARCH(1,1)) model. Strong con-
sistency and asymptotic normality of the global Gaussian quasi maximum likelihood (QML …