The rate of consistency of the quasi-maximum likelihood estimator

István Berkes and Lajos Horvath

Statistics & Probability Letters, 2003, vol. 61, issue 2, 133-143

Abstract: 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)
Date: 2003
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Citations: View citations in EconPapers (15)

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