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Limit Theory for the QMLE of the GQARCH (1,1) Model |
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| Authors: | Stelios Arvanitis Alexandros Louka |
| Institution: | 1. Department of Economics Athens University of Economics and Business, Athens, Greecestelios@aueb.gr;3. Department of Economics Athens University of Economics and Business, Athens, Greece |
| Abstract: | |
| Keywords: | Conditional heteroskedasticity Quadratic ARCH models Stochastic recurrence equation Stationarity Ergodicity Quasi likelihood Normal integrand Epi-convergence CLT for martingale transforms Domain of normal attraction to a-stable distribution Inner limit of set sequences Weak convergence to minimizers of quadratic forms over closed convex sets |