Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models

Christian Francq and Jean-Michel Zakoian

MPRA Paper from University Library of Munich, Germany

Abstract: The paper establishes the Local Asymptotic Normality (LAN) property for general conditionally heteroskedastic time series models of multiplicative form, $\epsilon_t=\sigma_t(\btheta_0)\eta_t$, where the volatility $\sigma_t(\btheta_0)$ is a parametric function of $\{\epsilon_{s}, 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)
JEL-codes: C51 (search for similar items in EconPapers)
Date: 2021
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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https://mpra.ub.uni-muenchen.de/106542/1/MPRA_paper_106542.pdf original 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 (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:106542

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