12,000

We have over 12,000 students, from over 100 countries, within one of the safest campuses in the UK

93%

93% of Lancaster students go into work or further study within six months of graduating

Home > Research > Publications & Outputs > Pseudo-likelihood estimation in ARCH model
View graph of relations

« Back

Pseudo-likelihood estimation in ARCH model

Research output: Contribution to journalJournal article

Published

Journal publication date06/2006
JournalCanadian Journal of Statistics
Journal number2
Volume34
Number of pages16
Pages341-356
Original languageEnglish

Abstract

The author presents asymptotic results for the class of pseudo-likelihood estimators in the autoregressive conditional heteroscedastic models introduced by Engle (1982). Unlike what is required for the quasi-likelihood estimator, some estimators in the class he considers do not require the finiteness of the fourth moment of the error density. Thus his method is applicable to heavy-tailed error distributions for
which moments higher than two may not exist.