Whittle Estimation Of Arch Models
For a class of parametric ARCH models, Whittle estimation based on squared observations is shown to be inconsistent and asymptotically normal. Our conditions require the squares to have short memory autocorrelation, by comparison with the work of Zaffaroni (1999), who established the same properties on the basis of an alternative class of models with martingale difference levels and long memory autocorrelated squares.
(This abstract was borrowed from another version of this item.)
Volume (Year): 17 (2001)
Issue (Month): 03 (June)
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