A Tour in the Asymptotic Theory of GARCH Estimation

Christian Francq and Jean-Michel Zakoïan ()
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Jean-Michel Zakoïan: EQUIPPE-GREMARS, and CREST, University Lille III

Chapter 4 in Handbook of Financial Time Series, 2009, pp 85-111 from Springer

Abstract: Abstract The main estimation methods of the univariate GARCH models are reviewed. A special attention is given to the asymptotic results and the quasi-maximum likelihood method.

Keywords: Asymptotic Theory; Asymptotic Normality; GARCH Model; ARMA Model; Arch Model (search for similar items in EconPapers)
Date: 2009
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Working Paper: A Tour in the Asymptotic Theory of GARCH Estimation (2009)
Working Paper: A Tour in the Asymptotic Theory of GARCH Estimation (2008)
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DOI: 10.1007/978-3-540-71297-8_4

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