کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5095690 1376479 2016 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asymptotics for parametric GARCH-in-Mean models
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Asymptotics for parametric GARCH-in-Mean models
چکیده انگلیسی
In this paper we develop an asymptotic theory for the Quasi-Maximum Likelihood Estimator (QMLE) of the parametric GARCH-in-Mean model. The asymptotics is based on a study of the volatility as a process of the model parameters. The proof makes use of stochastic recurrence equations for this random function and uses exponential inequalities to localize the problem. Our results show why the asymptotics for this specification is quite complex although it is a rather standard parametric model. Nevertheless, our theory does not yet treat all standard specifications of the mean function.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 194, Issue 2, October 2016, Pages 319-329
نویسندگان
, ,