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An extension of quasi-likelihood estimation

✍ Scribed by V.P. Godambe; M.E. Thompson


Publisher
Elsevier Science
Year
1989
Tongue
English
Weight
942 KB
Volume
22
Category
Article
ISSN
0378-3758

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The rate of consistency of the quasi-max
✍ IstvΓ‘n Berkes; Lajos HorvΓ‘th πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 155 KB

We connect the rate of consistency of the quasi-maximum likelihood estimator in GARCH(p; q) sequences with the number of the moments of the innovations.