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Asymptotics of the QMLE for General ARCH(q) Models
Dennis Kristensen,
Anders Christian Rahbek
Department of Economics
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Dive into the research topics of 'Asymptotics of the QMLE for General ARCH(q) Models'. Together they form a unique fingerprint.
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Mathematics
Maximum Likelihood Estimator
100%
Asymptotics
100%
Variance Function
66%
Conditional Variance
66%
Nonlinear
66%
Asymmetric
33%
Asymptotic Normality
33%
Wide Range
33%
Keyphrases
Conditional Variance Function
66%
Log-moments
33%
Strong Consistency
33%
Asymmetric Power ARCH
33%
ARCH Process
33%
Extra Assumption
33%
Fourth Moment
33%
ARCH Model
33%
Geometrically Ergodic
33%
Second Moment
33%