On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model

被引：1

作者：

Arvanitis, Stelios ^{[1
]}

Anyfantaki, Sofia ^{[2
,3
]}

机构：

[1] AUEB, Dept Econ, Patision Str 76,POB 10434, Athens, Greece

[2] Bank Greece, Dept Econ Anal & Res, Athens, Greece

[3] AUEB, Dept Int & European Econ Studies, Athens, Greece

来源：

JOURNAL OF TIME SERIES ANALYSIS | 2020年 / 41卷 / 02期

关键词：

Martingale limit theorem; domain of attraction; stable distribution; regularly varying tail; Gaussian SQMLE; regularly varying rate; STABLE LIMITS; CONVERGENCE;

D O I：

10.1111/jtsa.12494

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We derive the limit theory of the Gaussian stable quasi maximum likelihood estimator for the stationary EGARCH(1,1) model when the squared innovation process has marginals with regularly varying tails. We derive regularly varying rates and limiting stable distributions. We perform Monte Carlo experiments to assess the extent of the parameter space corresponding to the invertibility condition, and the quality of the asymptotic approximation.

引用

页码：341 / 350

页数：10

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