ESTIMATION IN CONDITIONALLY HETEROSKEDASTIC MODELS

被引：0

作者：

ELIE, L ^{[1
]}

JEANTHEAU, T ^{[1
]}

机构：

[1] UNIV MARNE LA VALLEE, EQUIPE ANAL & MATH APPL, F-93166 NOISY LE GRAND, FRANCE

来源：

COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE | 1995年 / 320卷 / 10期

关键词：

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We prove the strong consistency of the minimum contrast estimators for a very large class of conditionnally heteroskedastic models, assuming only the existence of the logarithmic moment of the process. We apply this result to an AR (s) model with GARCH (p, q) error.

引用

页码：1255 / 1258

页数：4

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