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- W2069386818 abstract "This note proves the consistency and asymptotic normality of the Quasi-Maximum Likelihood Estimator (QMLE) of the parameters of a GARCH model with martingale difference centered squared innovations. The results are obtained under mild conditions and generalize and improve those in Lee and Hansen (1994) for the local QMLE in semi-strong GARCH(1,1) models. In particular, no restrictions on the conditional mean are imposed. Our proofs closely follow those in Francq and Zakoian (2004) for independent and identically distributed innovations." @default.
- W2069386818 created "2016-06-24" @default.
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- W2069386818 date "2008-01-01" @default.
- W2069386818 modified "2023-09-26" @default.
- W2069386818 title "Quasi-Maximum Likelihood Estimation of Semi-Strong GARCH Models" @default.
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- W2069386818 doi "https://doi.org/10.2139/ssrn.1305255" @default.
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