Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models

Christian Francq and Jean-Michel Zakoian

No 2022-06, Working Papers from Center for Research in Economics and Statistics

Abstract: The paper establishes the Local Asymptotic Normality (LAN) property for general conditionally heteroskedastic time series models of multiplicative form, ϵt = σt(θ0)ηt, where the volatility σt(θ0) is a parametric function of {ϵs, s

Keywords: APARCH; Asymmetric Student-t distribution; Beta-t-GARCH; Conditional heteroskedasticity; LAN in time series; Quadratic mean differentiability (search for similar items in EconPapers)
Pages: 32 pages
Date: 2022-03-14
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http://crest.science/RePEc/wpstorage/2022-06.pdf CREST working paper version (application/pdf)

Related works:
Journal Article: LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS (2023)
Working Paper: Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models (2021)
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