LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS (Q6078286): Difference between revisions

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scientific article; zbMATH DE number 7753722

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English	LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS	scientific article; zbMATH DE number 7753722

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scholarly article

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title

LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS (English)

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24 October 2023

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1017/s0266466622000093

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cites work

GARCH processes: structure and estimation

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The Lindeberg-Levy Theorem for Martingales

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Q4269108

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Maximum likelihood estimation for score-driven models

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Efficient estimation in semiparametric GARCH models

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Adaptive estimation in time-series models

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Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

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Local asymptotic normality of multivariate ARMA processes with a linear trend

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Local asymptotic normality for regression models with long-memory disturbance

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Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes

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Dynamic Models for Volatility and Heavy Tails

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Adaptive estimation in a random coefficient autoregressive model

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On adaptive estimation in stationary ARMA processes

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Q4660424

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Statistical decision theory. Estimation, testing, and selection.

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A Remark on Quadratic Mean Differentiability

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On adaptive estimation in nonstationary ARMA models with GARCH errors

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

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Conditional asymmetry in power ARCH\((\infty)\) models

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Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach

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The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend

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Asymptotic Statistics

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A generalized asymmetric Student-\(t\) distribution with application to financial econometrics

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Identifiers

Mathematics Subject Classification ID

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10.1017/S0266466622000093

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Sitelinks

Mathematics(1 entry)

mardi Publication:6078286

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@@ Property / DOI: 10.1017/s0266466622000093 / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1017/s0266466622000093
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@@ Property / OpenAlex ID @@
+W3137432641
@@ Property / OpenAlex ID: W3137432641 / 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 Lindeberg-Levy Theorem for Martingales
@@ Property / cites work: The Lindeberg-Levy Theorem for Martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Q4269108
@@ Property / cites work: Q4269108 / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation for score-driven models
+Normal rank
@@ Property / cites work @@
+Efficient estimation in semiparametric GARCH models
+Normal rank
@@ Property / cites work @@
+Adaptive estimation in time-series models
@@ Property / cites work: Adaptive estimation in time-series models / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
+Normal rank
@@ Property / cites work @@
+Local asymptotic normality of multivariate ARMA processes with a linear trend
+Normal rank
@@ Property / cites work @@
+Local asymptotic normality for regression models with long-memory disturbance
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
+Normal rank
@@ Property / cites work @@
+Dynamic Models for Volatility and Heavy Tails
@@ Property / cites work: Dynamic Models for Volatility and Heavy Tails / rank @@
+Normal rank
@@ Property / cites work @@
+Adaptive estimation in a random coefficient autoregressive model
+Normal rank
@@ Property / cites work @@
+On adaptive estimation in stationary ARMA processes
+Normal rank
@@ Property / cites work @@
+Q4660424
@@ Property / cites work: Q4660424 / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical decision theory. Estimation, testing, and selection.
+Normal rank
@@ Property / cites work @@
+A Remark on Quadratic Mean Differentiability
@@ Property / cites work: A Remark on Quadratic Mean Differentiability / rank @@
+Normal rank
@@ Property / cites work @@
+On adaptive estimation in nonstationary ARMA models with GARCH errors
+Normal rank
@@ Property / cites work @@
+Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
+Normal rank
@@ Property / cites work @@
+Conditional asymmetry in power ARCH\((\infty)\) models
+Normal rank
@@ Property / cites work @@
+Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
+Normal rank
@@ Property / cites work @@
+The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend
+Normal rank
@@ Property / cites work @@
+Asymptotic Statistics
@@ Property / cites work: Asymptotic Statistics / rank @@
+Normal rank
@@ Property / cites work @@
+A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
+Normal rank
@@ Property / DOI @@
+.1017/S0266466622000093
@@ Property / DOI: 10.1017/S0266466622000093 / rank @@
+Normal rank