Prefer a chat interface with context about you and your work?
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach
This paper studies the quasi-maximum-likelihood estimator (QMLE) in a general conditionally heteroscedastic time series model of multiplicative form Xt=σtZt, where the unobservable volatility σt is a parametric function of (Xt−1, …, Xt−p, σt−1, …, σt−q) for some p, q≥0, and (Zt) is standardized i.i.d. noise. We assume that these models …