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

被引：23

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 [经济学];

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

页码：565 / 586

页数：22

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