Quasi-MLE for quadratic ARCH model with long memory
Statistics Theory
2015-09-23 v1 Statistics Theory
Abstract
We discuss parametric quasi-maximum likelihood estimation for quadratic ARCH process with long memory introduced in Doukhan et al. (2015) and Grublyt\.e and \v{S}karnulis (2015) with conditional variance given by a strictly positive quadratic form of observable stationary sequence. We prove consistency and asymptotic normality of the corresponding QMLE estimates, including the estimate of long memory parameter . A simulation study of empirical MSE is included.
Cite
@article{arxiv.1509.06422,
title = {Quasi-MLE for quadratic ARCH model with long memory},
author = {Ieva Grublytė and Donatas Surgailis and Andrius Škarnulis},
journal= {arXiv preprint arXiv:1509.06422},
year = {2015}
}