Pseudo-likelihood estimation in ARCH model

Mukherjee, Kanchan (2006) Pseudo-likelihood estimation in ARCH model. Canadian Journal of Statistics, 34 (2). pp. 341-356. ISSN 0319-5724

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Abstract

The author presents asymptotic results for the class of pseudo-likelihood estimators in the autoregressive conditional heteroscedastic models introduced by Engle (1982). Unlike what is required for the quasi-likelihood estimator, some estimators in the class he considers do not require the finiteness of the fourth moment of the error density. Thus his method is applicable to heavy-tailed error distributions for which moments higher than two may not exist.

Item Type:
Journal Article
Journal or Publication Title:
Canadian Journal of Statistics
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1800/1804
Subjects:
ID Code:
65681
Deposited By:
Deposited On:
15 Jul 2013 09:11
Refereed?:
Yes
Published?:
Published
Last Modified:
01 Jan 2020 08:34