PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS
نویسندگان
چکیده
منابع مشابه
Parameter estimation in nonlinear AR - GARCH models
This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a general nonlinear autoregression of order p (AR(p)) with the conditional variance specified as a general nonlinear first order generalized autoregressive conditional heteroskedasticity (GARCH(1,1)) model. We do not require the rescaled errors to be ind...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2011
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466611000041