method is proposed for robust inference. Consistency and asymptotic normality for both estimation strategies are established …

and non-parametric correlation in order to increase both accuracy and consistency. Copulas are used to test extreme co … independence over time should be taken with caution due to the presence of GARCH effects. In addition, extreme co-movements are …

European EMU countries. It applies a relatively new technique, the orthogonal GARCH model, which allows us to calculate a …

of statistical inference for such models. We prove the existence, weak consistency and asymptotic normality of a sequence …

GARCH (1,1) models are widely used for modelling processes with time varying volatility. These include financial time …) for the GARCH (1,1) model. The asymptotic properties of the LSE are studied under very mild moment conditions for the … errors. We establish the consistency, asymptotic normality at the standard convergence rate of square root-of-n for our …

We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series … processes. We formulate primitive conditions for global identification, invertibility, strong consistency, asymptotic normality …

A least squares estimation approach for the estimation of a GARCH (1,1) modelis developed. The asymptotic properties of … t of some order. We establish the consistency, asymptotic normality and the law of iterated logarithm for our estimate …