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The rate of consistency of the quasi-maximum likelihood estimator

✍ Scribed by István Berkes; Lajos Horváth

Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
155 KB
Volume
61
Category
Article
ISSN
0167-7152

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✦ Synopsis

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.

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