Estimation of the maximal moment exponent of a GARCH(1,1) sequence

被引：22
|
作者：
Berkes, I
Horváth, L
Kokoszka, P
机构：
[1] Hungarian Acad Sci, A Renyi Inst Math, H-1364 Budapest, Hungary
[2] Univ Utah, Dept Math, Salt Lake City, UT 84112 USA
[3] Utah State Univ, Dept Math & Stat, Logan, UT 84322 USA
来源：
ECONOMETRIC THEORY | 2003年 / 19卷 / 04期
关键词：
D O I：
10.1017/S026646603194030
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We propose an estimator for the maximal moment exponent of a GARCH(1,1) sequence. We establish its consistency asymptotic normality with rate n(-1/2). Finite sample properties are investigated by means of a small simulation study.
引用
收藏
页码：565 / 586
页数：22
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