University of Liverpool
Department of Mathematical Sciences
Division of Statistics and Probability
SEMINAR
Pseudo-Likelihood Estimation in ARCH Models. K Mukherjee, Department of
Mathematical Sciences, University of Liverpool
Wednesday, 1st December 2004, 2pm
The Whittaker Room (211)
Abstract:
In this talk, we discus the asymptotic theory for the class of
pseudo-likelihood estimators in the autoregressive conditional
heteroscedastic model (ARCH). Some estimators in the class do not require
the finiteness of the fourth moment of the error density unlike the
requirement for the quasi-likelihood estimator. Thus our method is
applicable to heavy-tailed error distributions for which moments higher
than two may not exist
Following the talk, tea and biscuits will be available in Room 304
ALL WELCOME
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Ingrid Harper
University of Liverpool
Department of Mathematical Sciences
Division of Statistics and Probability
Peach Street
Liverpool L69 7ZL
Tel: 0151 794 4751
Fax: 0151 794 4754
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