Stable limits of martingale transforms with application to the estimation of Garch parameters
- Journal Article
Journal / seriesThe Annals of Statistics
Pages / Article No.
PublisherInstitute of Mathematical Statistics
SubjectGARCH process; Gaussian quasi-maximum likelihood; Regular variation; Infinite variance; Stable distribution; Stochastic recurrence equation; Mixing
NotesReceived November 2003, Revised March 2005.
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