Abstract:Techniques for approximating probability distributions like the Edgeworth expansion have a long history in time series models. The purpose of this thesis is to give a detailed study of the asymptotic properties of the Moving Average (MA) and the Exponential GARCH (EGARCH) models. Extending the results in Sargan (1976) [80] and Tanaka (1984) [87], we derive the asymptotic expansions of the distribution, the bias and the mean squared error of the MM and QML estimators of the first order autocorrelation and the M… Show more
Set email alert for when this publication receives citations?
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.