Estimation de représentations GARCH faibles

Christian Francq; Jean Michel Zakoïan

doi:10.1016/S0764-4442(97)89798-4

Estimation de représentations GARCH faibles

Translated title of the contribution: Estimating weak GARCH representations

Université de Lille
ENSAE

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

Using an approach based on linear conditional expectations, we define a class of weak ARMA-GARCH representations. The generality of the class is illustrated through a collection of examples. We propose a two-stage estimation procedure based on the minimization of sums of squared linear predictions errors. Strong consistency and asymptotic normality of the estimator are established under ergodic and mixing assumptions.

Translated title of the contribution	Estimating weak GARCH representations
Original language	French
Pages (from-to)	495-498
Number of pages	4
Journal	Comptes Rendus de l'Academie des Sciences - Series I: Mathematics
Volume	326
Issue number	4
DOIs	https://doi.org/10.1016/S0764-4442(97)89798-4
Publication status	Published - 1 Jan 1998
Externally published	Yes

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Cite this

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title = "Estimation de repr{\'e}sentations GARCH faibles",

abstract = "Using an approach based on linear conditional expectations, we define a class of weak ARMA-GARCH representations. The generality of the class is illustrated through a collection of examples. We propose a two-stage estimation procedure based on the minimization of sums of squared linear predictions errors. Strong consistency and asymptotic normality of the estimator are established under ergodic and mixing assumptions.",

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AU - Zakoïan, Jean Michel

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AB - Using an approach based on linear conditional expectations, we define a class of weak ARMA-GARCH representations. The generality of the class is illustrated through a collection of examples. We propose a two-stage estimation procedure based on the minimization of sums of squared linear predictions errors. Strong consistency and asymptotic normality of the estimator are established under ergodic and mixing assumptions.

U2 - 10.1016/S0764-4442(97)89798-4

DO - 10.1016/S0764-4442(97)89798-4

M3 - Article

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SN - 0764-4442

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JO - Comptes Rendus de l'Academie des Sciences - Series I: Mathematics

JF - Comptes Rendus de l'Academie des Sciences - Series I: Mathematics

IS - 4

ER -

Estimation de représentations GARCH faibles

Abstract

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