Estimation de représentations GARCH faibles

Christian Francq; Jean Michel Zakoïan

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

Estimation de représentations GARCH faibles

Université de Lille
ENSAE

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

1 Citation (Scopus)

Résumé

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.

Titre traduit de la contribution	Estimating weak GARCH representations
langue originale	Français
Pages (de - à)	495-498
Nombre de pages	4
journal	Comptes Rendus de l'Academie des Sciences - Series I: Mathematics
Volume	326
Numéro de publication	4
Les DOIs	https://doi.org/10.1016/S0764-4442(97)89798-4
état	Publié - 1 janv. 1998
Modification externe	Oui

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10.1016/S0764-4442(97)89798-4

Contient cette citation

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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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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.

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

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

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Estimation de représentations GARCH faibles

Résumé

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