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- W2894968586 abstract "Abstract We derive the limit theory of the Gaussian QMLE in a non-stationary Asymmetric GARCH(1,1) model when the squared innovation process lies in the domain of attraction of a stable law. When the stability parameter lies in 1 , 2 , we find regularly varying rates and stable limits for the QMLE of the asymmetry and GARCH parameters. When it is less than one we derive total inconsistency." @default.
- W2894968586 created "2018-10-12" @default.
- W2894968586 creator A5036553402 @default.
- W2894968586 date "2019-02-01" @default.
- W2894968586 modified "2023-09-24" @default.
- W2894968586 title "Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model" @default.
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- W2894968586 doi "https://doi.org/10.1016/j.spl.2018.09.007" @default.
- W2894968586 hasPublicationYear "2019" @default.
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