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초록
This article is concerned with a class of threshold-asymmetric GARCH models both for stationary case and for non-stationary case. We investigate large sample properties of estimators from QML(quasi-maximum likelihood) and QL(quasilikelihood) methods. Asymptotic distributions are derived and it is interesting to note for non-stationary case that both QML and QL give asymptotic normal distributions.
키워드
Quasilikelihood; quasi-maximum likelihood; non-stationary; threshold
- 제목
- Asymptotic Normality for Threshold-Asymmetric GARCH Processes of Non-Stationary Cases
- 저자
- 박진아; 황선영
- 발행일
- 2011-07
- 권
- 18
- 호
- 4
- 페이지
- 477 ~ 483