Whittle estimation of ARCH models
AbstractFor a class of parametric ARCH models, Whittle estimation based on squared observations is shown to be [square root of n]-consistent and asymptotically normal. Our conditions require the squares to have short memory autocorrelation, by comparison with the work of Zaffaroni (1999, Gaussian Inference on Certain Long-Range Dependent Volatility Models, Preprint), who established the same properties on the basis of an alternative class of models with martingale difference levels and long memory autocorrelated squares.
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Bibliographic InfoPaper provided by London School of Economics and Political Science in its series Open Access publications from London School of Economics and Political Science with number http://eprints.lse.ac.uk/316/.
Date of creation: Jun 2001
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Publication status: Published in Econometric Theory (2001-06) v.17, p.608-631
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