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ralph lauren polo

Maddalena Cavicchioli
''On asymptotic properties of the QLM estimators for GARCH models''
( 2013, Vol. 33 No.2 )
This note can be considered as a continuation of a nice paper from Francq and Zakoian (2012) concerning with strict stationarity testing and estimation of GARCH models. We compute the asymptotic variances of the quasi-maximum likelihood estimators for stationary GARCH models.
Keywords: GARCH models, asymptotically stationary process, consistency, asymptotic normality, asymptotic variance matrix.
JEL: C5 - Econometric Modeling: General
Manuscript Received : Oct 30 2012 Manuscript Accepted : Apr 05 2013

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