Giraitis, Liudas and Robinson, Peter M. (2001) Whittle estimation of ARCH models. Econometric Theory, 17 (3). 608 - 631. ISSN 1469-4360
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Identification Number: https://doi.org/10.1017/S0266466601173056
Abstract
For a class of parametric ARCH models, Whittle estimation based on squared observations is shown to be [square root of n]-consistent and asymptotically normal. Our conditions require the squares to have short memory autocorrelation, by comparison with the work of Zaffaroni (1999, “Gaussian Inference on Certain Long-Range Dependent Volatility Models,” Preprint), who established the same properties on the basis of an alternative class of models with martingale difference levels and long memory autocorrelated squares.
| Item Type: | Article |
|---|---|
| Official URL: | https://www.cambridge.org/core/journals/econometri... |
| Additional Information: | © 2001 Cambridge University Press |
| Divisions: | Economics |
| Subjects: | H Social Sciences > HB Economic Theory |
| Date Deposited: | 17 Feb 2008 |
| Last Modified: | 09 May 2025 13:02 |
| URI: | http://eprintstest.lse.ac.uk/id/eprint/316 |
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