Offline and online weighted least squares estimation of nonstationary power ARCH processes
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Francq, Christian & Zakoian, Jean-Michel, 2013.
"Inference in non stationary asymmetric garch models,"
44901, University Library of Munich, Germany.
- Christian Francq & Jean-Michel Zakoian, 2013. "Inference in Non Stationary Asymmetric Garch Models," Working Papers 2013-11, Center for Research in Economics and Statistics.
- Abdelhakim Aknouche, 2012. "Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases," Statistical Inference for Stochastic Processes, Springer, vol. 15(3), pages 241-256, October.
- Aknouche, Abdelhakim, 2015. "Unified quasi-maximum likelihood estimation theory for stable and unstable Markov bilinear processes," MPRA Paper 69572, University Library of Munich, Germany.
More about this item
KeywordsNonstationary ARCH process Box-Cox transformed ARCH Recursive estimation Weighted least squares estimate Asymptotic normality;
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