ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE
提出了一种估计GARCH(1,1)序列最大矩指数的方法，证明了估计量的一致性和渐近正态性，并通过模拟研究了有限样本性质。
We propose an estimator for the maximal moment exponent of a GARCH(1,1) sequence. We establish its consistency asymptotic normality with rate n−1/2. Finite sample properties are investigated by means of a small simulation study.The research for this paper was partially supported by NSF grant INT-0223262. István Berkes and Lajos Horváth were supported by the Hungarian National Foundation for Scientific Research, grant T 29621. Piotr Kokoszka and Lajos Horváth were supported by NATO grant PST.CLG.977607.