Giraitis, Liudas; Robinson, Peter M. Whittle estimation of ARCH models. (English) Zbl 1051.62074 Econom. Theory 17, No. 3, 608-631 (2001). Summary: For a class of parametric ARCH models, Whittle estimation based on squared observations is shown to be \(\sqrt n\)-consistent and asymptotically normal. Our conditions require the squares to have short memory autocorrelation, by comparison with the work of P. Zaffaroni and B. d’Italia [J. Econom. 115, 199–258 (2003; Zbl 1027.62074)], who established the same properties on the basis of an alternative class of models with martingale difference levels and long memory autocorrelated squares. Cited in 1 ReviewCited in 32 Documents MSC: 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) 62F12 Asymptotic properties of parametric estimators Citations:Zbl 1027.62074 PDFBibTeX XMLCite \textit{L. Giraitis} and \textit{P. M. Robinson}, Econom. Theory 17, No. 3, 608--631 (2001; Zbl 1051.62074) Full Text: DOI