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This paper studies an M-estimator of a proxy periodic GARCH (p, q) scaling model and establishes its consistency and asymptotic normality. Simulation studies are carried out to assess the performance of the estimator. The numerical results show that our M-estimator is more efficient and robust than other estimators without the use of high-frequency data.
Acta Mathematicae Applicatae Sinica – Springer Journals
Published: Aug 7, 2017
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