| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1149020 | Journal of Statistical Planning and Inference | 2012 | 20 Pages |
Abstract
Consistency and asymptotic normality of quasi-maximum likelihood estimators (QMLEs) for the fractionally integrated asymmetric power ARCH (FIAPARCH) process are proved. The moment conditions are assumed only for standardized errors. We show the properties for a wide range of QMLEs including Gaussian QMLE.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Kazuhiko Shinki, Zhengjun Zhang,