Quasi-maximum likelihood estimation of periodic GARCH processesReportar como inadecuado



 Quasi-maximum likelihood estimation of periodic GARCH processes


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This paper establishes the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator QMLE for a GARCH process with periodically time-varying parameters. We first give a necessary and sufficient condition for the existence of a strictly periodically stationary solution for the periodic GARCH P-GARCH equation. As a result, it is shown that the moment of some positive order of the P-GARCH solution is finite, under which we prove the strong consistency and asymptotic normality CAN of the QMLE without any condition on the moments of the underlying process.



Autor: Abdehakim Aknouche; Abdelouhab Bibi

Fuente: https://archive.org/







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