LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS

Christian Francq and Jean-Michel Zakoian

Econometric Theory, 2023, vol. 39, issue 5, 1067-1092

Abstract: The paper establishes the local asymptotic normality property for general conditionally heteroskedastic time series models of multiplicative form, $\epsilon _t=\sigma _t(\boldsymbol {\theta }_0)\eta _t$ , where the volatility $\sigma _t(\boldsymbol {\theta }_0)$ is a parametric function of $\{\epsilon _{s}, s

Date: 2023
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Related works:
Working Paper: Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models (2022)
Working Paper: Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:39:y:2023:i:5:p:1067-1092_7

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