Minimum Hellinger Distance Estimation of a Univariate GARCH Process
Keyword(s):
In this paper, we determine the Minimum Hellinger Distance estimator of a stationary GARCH process. We construct an estimator of the parameters based on the minimum Hellinger distance method. Under conditions which ensure the $\phi$-mixing of the GARCH process, we establish the almost sure convergence and the asymptotic normality of the estimator.
2013 ◽
Vol 28
(6)
◽
pp. 2495-2518
◽
Keyword(s):
2010 ◽
Vol 101
(5)
◽
pp. 1102-1122
◽
Keyword(s):
1986 ◽
Vol 81
(393)
◽
pp. 223-229
◽
Keyword(s):
Keyword(s):
1995 ◽
Vol 48
(3)
◽
pp. 303-319
◽
2008 ◽
Vol 52
(6)
◽
pp. 2945-2965
◽
2017 ◽
Vol 07
(04)
◽
pp. 743-759
◽
2018 ◽
Vol 88
(13)
◽
pp. 2507-2527
◽
2009 ◽
Vol 53
(6)
◽
pp. 2390-2403
◽