Econometrica Vol. 64 No. 3 1996
Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
Abstract
Robin L. Lumsdaine, Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models, Econometrica, Vol. 64, No. 3 (May, 1996), pp. 575-596
- DOI
- 10.2307/2171862
- Volume
- 64
- Issue
- 3
- Pages
- 575
- Sources
- bibtex:phds-export.bib openalex crossref