Pseudo maximum likelihood estimation of the univariate GARCH (2,2) and asymptotic normality under dependent innovations (Q4605236): Difference between revisions

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scientific article; zbMATH DE number 6841788

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English	Pseudo maximum likelihood estimation of the univariate GARCH (2,2) and asymptotic normality under dependent innovations	scientific article; zbMATH DE number 6841788

Statements

instance of

scholarly article

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title

Pseudo maximum likelihood estimation of the univariate GARCH (2,2) and asymptotic normality under dependent innovations (English)

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author

Eugene Kouassi

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Patrice Soh Takam

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Jean Marcelin Bosson Brou

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Emile Herve Ndoumbe

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published in

Communications in Statistics - Theory and Methods

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publication date

21 February 2018

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zbMATH Keywords

asymptotic normality

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pseudo-maximum likelihood estimator

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quadratic exponential family

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univariate GARCH(2,2) model

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martingales

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03610926.2016.1275694

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cites work

Pseudo maximum likelihood estimation of structural models involving fixed-point problems

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The efficiency of the estimators of the parameters in GARCH processes.

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GARCH processes: structure and estimation

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Q5560061

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Generalized autoregressive conditional heteroscedasticity

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Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

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On unification of the asymptotic theory of nonlinear econometric models

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Q3996911

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QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS

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GARCH Models

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Pseudo Maximum Likelihood Methods: Theory

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Pseudo Maximum Likelihood Methods: Applications to Poisson Models

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ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH

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Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

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Asymptotic efficiency of the pseudo‐maximum likelihood estimator in multi‐group factor models with pooled data

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Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models

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THE ASYMPTOTIC VARIANCE OF THE PSEUDO MAXIMUM LIKELIHOOD ESTIMATOR

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Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models

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Q4084474

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Identifiers

zbMATH Open document ID

1384.62290

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DOI

10.1080/03610926.2016.1275694

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4605236

@@ Property / full work available at URL @@
+https://doi.org/10.1080/03610926.2016.1275694
+Normal rank
@@ Property / OpenAlex ID @@
+W2562049667
@@ Property / OpenAlex ID: W2562049667 / rank @@
+Normal rank
@@ Property / cites work @@
+Pseudo maximum likelihood estimation of structural models involving fixed-point problems
+Normal rank
@@ Property / cites work @@
+The efficiency of the estimators of the parameters in GARCH processes.
+Normal rank
@@ Property / cites work @@
+GARCH processes: structure and estimation
@@ Property / cites work: GARCH processes: structure and estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Q5560061
@@ Property / cites work: Q5560061 / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
+Normal rank
@@ Property / cites work @@
+On unification of the asymptotic theory of nonlinear econometric models
+Normal rank
@@ Property / cites work @@
+Q3996911
@@ Property / cites work: Q3996911 / rank @@
+Normal rank
@@ Property / cites work @@
+QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
+Normal rank
@@ Property / cites work @@
+GARCH Models
@@ Property / cites work: GARCH Models / rank @@
+Normal rank
@@ Property / cites work @@
+Pseudo Maximum Likelihood Methods: Theory
@@ Property / cites work: Pseudo Maximum Likelihood Methods: Theory / rank @@
+Normal rank
@@ Property / cites work @@
+Pseudo Maximum Likelihood Methods: Applications to Poisson Models
+Normal rank
@@ Property / cites work @@
+ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
@@ Property / cites work: ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
+Normal rank
@@ Property / cites work @@
+Asymptotic efficiency of the pseudo‐maximum likelihood estimator in multi‐group factor models with pooled data
+Normal rank
@@ Property / cites work @@
+Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
+Normal rank
@@ Property / cites work @@
+THE ASYMPTOTIC VARIANCE OF THE PSEUDO MAXIMUM LIKELIHOOD ESTIMATOR
+Normal rank
@@ Property / cites work @@
+Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
+Normal rank
@@ Property / cites work @@
+Q4084474
@@ Property / cites work: Q4084474 / rank @@
+Normal rank