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WHITTLE ESTIMATION OF ARCH MODELS

Published online by Cambridge University Press:  27 July 2001

Liudas Giraitis
Affiliation:
London School of Economics
Peter M. Robinson
Affiliation:
London School of Economics
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Abstract

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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.

Information

Type
Research Article
Copyright
© 2001 Cambridge University Press