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Quasi-Maximum Likelihood Estimation Of Semi-Strong Garch Models

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Author Info
Escanciano, Juan Carlos

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Abstract

This note proves the consistency and asymptotic normality of the quasi 52) for the local QMLE in semistrong GARCH(1,1) models. In particular, no restrictions on the conditional mean are imposed. Our proofs closely follow those in Francq and Zako 637) for independent and identically distributed innovations.

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File URL: http://journals.cambridge.org/abstract_S0266466609090689
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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 25 (2009)
Issue (Month): 02 (April)
Pages: 561-570
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Handle: RePEc:cup:etheor:v:25:y:2009:i:02:p:561-570_09

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This page was last updated on 2009-12-20.

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