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Local Asymptotic Normality Of General Conditionally Heteroskedastic And Score-Driven Time-Series Models

Author

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  • Francq, Christian
  • Zakoian, Jean-Michel

Abstract

The paper establishes the local asymptotic normality property for general conditionally heteroskedastic time series models of multiplicative form, $\epsilon _t=\sigma _t(\boldsymbol {\theta }_0)\eta _t$ , where the volatility $\sigma _t(\boldsymbol {\theta }_0)$ is a parametric function of $\{\epsilon _{s}, s

Suggested Citation

  • Francq, Christian & Zakoian, Jean-Michel, 2023. "Local Asymptotic Normality Of General Conditionally Heteroskedastic And Score-Driven Time-Series Models," Econometric Theory, Cambridge University Press, vol. 39(5), pages 1067-1092, October.
    • Handle: RePEc:cup:etheor:v:39:y:2023:i:5:p:1067-1092_7
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    Cited by:

    1. Francq, Christian & Zakoian, Jean-Michel, 2024. "Finite moments testing in a general class of nonlinear time series models," MPRA Paper 121193, University Library of Munich, Germany.

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    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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