NM-QELE for ARMA-GARCH models with non-Gaussian innovations

DOI10.1016/j.spl.2011.02.004zbMath1213.62140OpenAlexW1996960310MaRDI QIDQ534428

Taewook Lee, Jeongcheol Ha

Publication date: 17 May 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.02.004

zbMATH Keywords

consistencyGaussian mixture modelARMA-GARCH modelQMLEquasi-maximum estimated likelihood estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Point estimation (62F10)

Related Items (3)

Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models ⋮ A note on Jarque-Bera normality test for ARMA-GARCH innovations ⋮ A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models

Cites Work

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• Mixture Densities, Maximum Likelihood and the EM Algorithm
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Inference in Arch and Garch Models with Heavy-Tailed Errors

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