Ke Zhu et Shiqing Ling, GLOBAL SELF-WEIGHTED AND LOCAL QUASI-MAXIMUM EXPONENTIAL LIKELIHOOD ESTIMATORS FOR ARMA.GARCH/IGARCH MODELS, Annals of statistics , 39(4), 2011, pp. 2131-2163
This paper investigates the asymptotic theory of the quasi-maximum exponential likelihood estimators (QMELE) for ARMA.GARCH models. Under only a fractional moment condition, the strong consistency and the asymptotic normality of the global self-weighted QMELE are obtained. Based on this self-weighted QMELE, the local QMELE is showed to be asymptotically normal for the ARMA model with GARCH (finite variance) and IGARCH errors. A formal comparison of two estimators is given for some cases. A simulation study is carried out to assess the performance of these estimators, and a real example on the world crude oil price is given.