Asymptotic theory for fractionally integrated asymmetric power ARCH models

作者：Shinki Kazuhiko^*; Zhang Zhengjun

来源：Journal of Statistical Planning and Inference, 2012, 142(11): 2871-2890.

DOI：10.1016/j.jspi.2012.04.004

• Long memory
• GARCH
• Quasi-maximum likelihood
• Time series

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.

• 出版日期2012-11