Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models (Q651027): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.6216
@@ Property / arXiv ID: 1201.6216 / rank @@
+Normal rank
@@ Property / cites work @@
+Regular variation of GARCH processes.
@@ Property / cites work: Regular variation of GARCH processes. / rank @@
+Normal rank
@@ Property / cites work @@
+GARCH processes: structure and estimation
@@ Property / cites work: GARCH processes: structure and estimation / rank @@
+Normal rank
@@ Property / cites work @@
+The efficiency of the estimators of the parameters in GARCH processes.
+Normal rank
@@ Property / cites work @@
+Fractionally integrated generalized autoregressive conditional heteroskedasticity
+Normal rank
@@ Property / cites work @@
+ARCH modeling in finance. A review of the theory and empirical evidence
+Normal rank
@@ Property / cites work @@
+Stationarity of GARCH processes and of some nonnegative time series
+Normal rank
@@ Property / cites work @@
+Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors
+Normal rank
@@ Property / cites work @@
+Least absolute deviation estimation for regression with ARMA errors
+Normal rank
@@ Property / cites work @@
+M-estimation for autoregression with infinite variance
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
+Normal rank
@@ Property / cites work @@
+Inconsistency of the MLE and inference based on weighted LS for LARCH models
+Normal rank
@@ Property / cites work @@
+Inference in Arch and Garch Models with Heavy-Tailed Errors
+Normal rank
@@ Property / cites work @@
+\(L_{p}\)-estimators in ARCH models
@@ Property / cites work: \(L_{p}\)-estimators in ARCH models / rank @@
+Normal rank
@@ Property / cites work @@
+Q5613647
@@ Property / cites work: Q5613647 / rank @@
+Normal rank
@@ Property / cites work @@
+RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS
+Normal rank
@@ Property / cites work @@
+Limiting distributions for \(L_1\) regression estimators under general conditions
+Normal rank
@@ Property / cites work @@
+Estimation and Asymptotic Inference in the AR-ARCH Model
+Normal rank
@@ Property / cites work @@
+Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
+Normal rank
@@ Property / cites work @@
+Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
+Normal rank
@@ Property / cites work @@
+Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
+Normal rank
@@ Property / cites work @@
+On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
+Normal rank
@@ Property / cites work @@
+WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE
+Normal rank
@@ Property / cites work @@
+Least absolute deviations estimation for ARCH and GARCH models
+Normal rank
@@ Property / cites work @@
+Least absolute deviation estimation for general autoregressive moving average time-series models
+Normal rank
@@ Property / cites work @@
+THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(<i>p</i>,<i>q</i>) MODELS
+Normal rank