Journal
ECONOMICS LETTERS
Volume 161, Issue -, Pages 135-137Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2017.09.035
Keywords
Martingale limit theorem; Domain of attraction; Stable distribution; Slowly varying sequence; Non-Stationarity; Gaussian QMLE; Regularly varying rate
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Funding
- Research Centre of the Athens University of Economics and Business [EP-2089-01]
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We derive the limit theory of the Gaussian QMLE in the non-stationary GARCH(1,1) model when the squared innovation process lies in the domain of attraction of a stable law. Analogously to the stationary case, when the stability parameter lies in (1, 2], we find regularly varying rates and stable limits for the QMLE of the ARCH and GARCH parameters. (C) 2017 Elsevier B.V. All rights reserved.
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