Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Pseudo-likelihood estimation in ARCH model
AU - Mukherjee, Kanchan
PY - 2006/6
Y1 - 2006/6
N2 - 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.
AB - 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.
KW - ARCH model
KW - pseudo-likelihood estimators
U2 - 10.1002/cjs.5550340210
DO - 10.1002/cjs.5550340210
M3 - Journal article
VL - 34
SP - 341
EP - 356
JO - Canadian Journal of Statistics
JF - Canadian Journal of Statistics
SN - 0319-5724
IS - 2
ER -