ESTIMATION IN CONDITIONALLY HETEROSKEDAST IC MODELS

Authors
ELIE L JEANTHEAU T
Citation
L. Elie et T. Jeantheau, ESTIMATION IN CONDITIONALLY HETEROSKEDAST IC MODELS, Comptes rendus de l'Academie des sciences. Serie 1, Mathematique, 320(10), 1995, pp. 1255-1258
Citations number
11
Categorie Soggetti
Mathematics, General",Mathematics
Journal title
Comptes rendus de l'Academie des sciences. Serie 1, Mathematique → ACNP
ISSN journal
07644442
Volume
320
Issue
10
Year of publication
1995
Pages
1255 - 1258
Database
ISI
SICI code
0764-4442(1995)320:10<1255:EICHIM>2.0.ZU;2-C
Abstract
We prove the strong consistency of the minimum contrast estimators for a very large class of conditionnally heteroskedastic models, assuming only the existence of the logarithmic moment of the process. We apply this result to an AR (s) model with GARCH (p, q) error.