Iterated Function Systems driven by non independent sequences: structure and inference

Baye Matar Kandji ()
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Baye Matar Kandji: 1CREST, ENSAE, Institut Polytechnique de Paris

No 2022-03, Working Papers from Center for Research in Economics and Statistics

Abstract: The paper investigates the existence of a strictly stationary solution to an Iterated Function System (IFS) driven by a stationary and ergodic sequence. When the driving sequence is not independent, the strictly stationary solution may admit no moment but we show an exponen- tial control of the trajectories. We exploit these results to prove, under mild conditions, the consistency of the quasi-maximum likelihood es- timator of GARCH models with non independent innovations.

Keywords: Stochastic Recurrence Equation; Semi-strong GARCH; Quasi Maximum Likelihood; inference without moments (search for similar items in EconPapers)
Pages: 19 pages
Date: 2022-01-26
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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