Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models

DOI10.1016/j.jeconom.2006.07.016zbMath1247.91142OpenAlexW2035370104MaRDI QIDQ451281

Shiqing Ling

Publication date: 23 September 2012

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.07.016

zbMATH Keywords

asymptotic normalityGARCH modelARMA-GARCH modelquasi-maximum likelihood estimationself-weighted estimation

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items

Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall ⋮ Self-weighted quantile estimation of autoregressive conditional duration model ⋮ TOWARD A UNIFIED INTERVAL ESTIMATION OF AUTOREGRESSIONS ⋮ THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS ⋮ ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES ⋮ Delay times of sequential procedures for multiple time series regression models ⋮ Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero ⋮ Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure ⋮ Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes ⋮ TEST FOR ZERO MEDIAN OF ERRORS IN AN ARMA–GARCH MODEL ⋮ Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations ⋮ Interval estimation of the tail index of a GARCH(1,1) model ⋮ Bootstrap specification tests for dynamic conditional distribution models ⋮ Nonparametric tests for market timing ability using daily mutual fund returns ⋮ Asymptotic inference of unstable periodic ARCH processes ⋮ Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes ⋮ Normalized least-squares estimation in time-varying ARCH models ⋮ A new estimator for LARCH processes ⋮ Bootstrap Inference for Garch Models by the Least Absolute Deviation Estimation ⋮ Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models ⋮ Quasi-maximum likelihood estimator of Laplace \((1,1)\) for GARCH models ⋮ Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference ⋮ Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models ⋮ Bootstrap based probability forecasting in multiplicative error models ⋮ A bootstrapped spectral test for adequacy in weak ARMA models ⋮ Robust nonlinear regression estimation in null recurrent time series ⋮ Test for parameter change in ARMA models with GARCH innovations ⋮ Asymptotics of self-weighted M-estimators for autoregressive models ⋮ Empirical likelihood for AR-ARCH models based on LAD estimation ⋮ Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models ⋮ Inference for conditional value-at-risk of a predictive regression ⋮ Moment condition tests for heavy tailed time series ⋮ Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases ⋮ Unnamed Item ⋮ Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance ⋮ ESTIMATION OF CHANGE-POINTS IN LINEAR AND NONLINEAR TIME SERIES MODELS ⋮ Robust estimation and inference for heavy tailed GARCH ⋮ Weighted least absolute deviations estimation for periodic ARMA models ⋮ Inconsistency of the MLE and inference based on weighted LS for LARCH models ⋮ Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE ⋮ Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach ⋮ Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models ⋮ Non-standard inference for augmented double autoregressive models with null volatility coefficients ⋮ ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES ⋮ QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS ⋮ Estimation and Asymptotic Inference in the AR-ARCH Model ⋮ Quantile Regression for Location‐Scale Time Series Models with Conditional Heteroscedasticity ⋮ Adaptive quasi-maximum likelihood estimation of GARCH models with Student’stlikelihood ⋮ Smoothed empirical likelihood for GARCH models with heavy-tailed errors ⋮ PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS ⋮ Empirical likelihood test for the application of swqmele in fitting an arma‐garch model ⋮ Least tail-trimmed squares for infinite variance autoregressions ⋮ A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach ⋮ QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES ⋮ A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS ⋮ Estimation for periodic ARMA models with unspecified noises ⋮ Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management ⋮ Generalized autoregressive moving average models with GARCH errors ⋮ On the tail index inference for heavy-tailed GARCH-type innovations

Cites Work

• Stationarity of GARCH processes and of some nonnegative time series
• M-estimation for autoregression with infinite variance
• Adaptive estimation in time-series models
• GARCH processes: structure and estimation
• \(L_{p}\)-estimators in ARCH models
• On adaptive estimation in nonstationary ARMA models with GARCH errors
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Regular variation of GARCH processes.
• Generalized autoregressive conditional heteroscedasticity
• The efficiency of the estimators of the parameters in GARCH processes.
• Parameter estimation for ARMA models with infinite variance innovations
• Fitting an error distribution in some heteroscedastic time series models
• Least absolute deviations estimation for ARCH and GARCH models
• Conditional Heteroscedastic Time Series Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
• Estimation and Testing Stationarity for Double-Autoregressive Models
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors

This page was built for publication: Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models