Aknouche, Abdelhakim - In: Statistical Inference for Stochastic Processes 15 (2012) 3, pp. 241-256
For an ARCH model, we propose a multistage weighted least squares (WLS) estimate which consists of repeated WLS procedures until the corresponding asymptotic variance equals that of the quasi-maximum likelihood estimate (QMLE). At every stage, the current estimate is of a WLS type weighted by...
