Table of Contents
Advances in Decision Sciences
Volume 2012, Article ID 515494, 11 pages
Research Article

Asymptotic Optimality of Estimating Function Estimator for CHARN Model

Faculty of Economics, Wakayama University, 930 Sakaedani, Wakayama 640-8510, Japan

Received 15 February 2012; Accepted 9 April 2012

Academic Editor: Hiroshi Shiraishi

Copyright © 2012 Tomoyuki Amano. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


CHARN model is a famous and important model in the finance, which includes many financial time series models and can be assumed as the return processes of assets. One of the most fundamental estimators for financial time series models is the conditional least squares (CL) estimator. However, recently, it was shown that the optimal estimating function estimator (G estimator) is better than CL estimator for some time series models in the sense of efficiency. In this paper, we examine efficiencies of CL and G estimators for CHARN model and derive the condition that G estimator is asymptotically optimal.