The rate of consistency of the quasi-maximum likelihood estimator
István Berkes and
Statistics & Probability Letters, 2003, vol. 61, issue 2, 133-143
We connect the rate of consistency of the quasi-maximum likelihood estimator in GARCH(p,q) sequences with the number of the moments of the innovations.
Keywords: GARCH(p; q) sequence Quasi-maximum likelihood Rate of consistency (search for similar items in EconPapers)
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