Asymptotic theory for M estimators for martingale differences with applications to GARCH models
We generalize the results for statistical functionals given by [Fernholz, 1983] and [Serfling, 1980] to M estimates for samples drawn for an ergodic and stationary martingale sequence. In a first step, we take advantage of some recent results on the uniform convergency of the empirical distribution given by [Adams & Nobel, 2010] to prove consistency of M estimators, before we assume Hadamard differentiability of our estimators to prove their asymptotic normality. Further we apply the results to the LAD estimator of [Peng & Yao, 2003] and the maximum-likelihood estimator for GARCH processes to show the wide field of possible applications of this method.
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||2010|
|Date of revision:|
|Contact details of provider:|| Web page: https://www.iwf.rw.fau.de/|
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
When requesting a correction, please mention this item's handle: RePEc:zbw:iwqwdp:092010. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.