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Seminario Prof. Rahbek
AVVISO DI SEMINARIO
Il Prof. Anders Rahbek, University of Copenhagen, Department of Applied
Mathematics and Statistics, terrà un seminario dal titolo
STATISTICAL INFERENCE FOR NON-STATIONARY GARCH
MODELS
venerdì 12 novembre alle ore 12 nell’aula II del Dipartimento di Scienze
Statistiche dell'Università di Bologna, via Belle Arti 41 40126,
Bologna.
Abstract:
Consistency and asymptotic normality is established for the highly
applied quasi-maximum likelihood estimator in the GARCH(1,1) model.
Contrary to existing literature we allow the parameters to be in the
region where no stationary version of the process exists. This has the
important implication that the likelihood based estimator for the GARCH
parameters is consistent and asymptotically normal in the entire
parameter region including both stationary and explosive behavior. In
particular, there is no "knife edge result like the unit root
case" as hypothesized in Lumsdaine (1996, p.580).