英文文献：Nonstationary ARCH and GARCH with t-distributed Innovations-非平稳ARCH和GARCH与t分布创新
英文文献作者：Rasmus S?ndergaard Pedersen,Anders Rahbek
英文文献摘要：
Consistency and asymptotic normality are established for the maximum likelihood estimators in the nonstationary ARCH and GARCH models with general t-distributed innovations. The results hold for joint estimation of (G)ARCH effects and the degrees of freedom parameter parametrizing the t-distribution. With T denoting sample size, classic square-root T-convergence is shown to hold with closed form expressions for the multivariate covariances.

摘要建立了具有一般t分布创新点的非平稳ARCH和GARCH模型的极大似然估计的相合性和渐近正态性。该结果适用于拱效应的联合估计和t分布参数化的自由度参数。用T表示样本容量，证明了经典的平方根T收敛对多元协方差的封闭表达式是成立的。