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Asymptotic theory for fractionally integrated asymmetric power ARCH models |
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| Authors: | Kazuhiko Shinki Zhengjun Zhang |
| Institution: | 1. Department of Mathematics, Wayne State University, 1150 FAB, 656 W. Kirby, Detroit, MI 48202, USA;2. Department of Statistics, University of Wisconsin-Madison, 1300 University Avenue, Madison, WI 53706, USA |
| Abstract: | Consistency and asymptotic normality of quasi-maximum likelihood estimators (QMLEs) for the fractionally integrated asymmetric power ARCH (FIAPARCH) process are proved. The moment conditions are assumed only for standardized errors. We show the properties for a wide range of QMLEs including Gaussian QMLE. |
| Keywords: | Long memory GARCH Quasi-maximum likelihood Time series |
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