Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

Søren Tolver Jensen, Anders Rahbek

87 Citations (Scopus)

Cite this

@article{82f7b1b074c211dbbee902004c4f4f50,

title = "Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case",

author = "Jensen, {S{\o}ren Tolver} and Anders Rahbek",

year = "2004",

language = "English",

volume = "72",

pages = "641--646",

journal = "Econometrica",

issn = "0012-9682",

publisher = "Wiley-Blackwell",

number = "2",

}