Whittle estimation of ARCH models

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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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:	21 Oct 2024 03:03
URI:	http://eprints.lse.ac.uk/id/eprint/316

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