Title of article :
Asymptotic theory for fractionally integrated asymmetric power ARCH models
Author/Authors :
Shinki، نويسنده , , Kazuhiko and Zhang، نويسنده , , Zhengjun، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2012
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.
Keywords :
Quasi-maximum likelihood , Time series , Long memory , GARCH
Journal title :
Journal of Statistical Planning and Inference
Journal title :
Journal of Statistical Planning and Inference
