ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS
From MaRDI portal
Publication:2936833
DOI10.1017/S0266466614000139zbMath1314.62211MaRDI QIDQ2936833
Publication date: 7 January 2015
Published in: Econometric Theory (Search for Journal in Brave)
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items
A generalized nonlinear model for long memory conditional heteroscedasticity ⋮ QMLE for Quadratic ARCH Model with Long Memory ⋮ A nonlinear model for long-memory conditional heteroscedasticity ⋮ A new estimator for LARCH processes
Cites Work
- Unnamed Item
- A smoothed least squares estimator for threshold regression models
- A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
- On approximate pseudo-maximum likelihood estimation for LARCH-processes
- Inconsistency of the MLE and inference based on weighted LS for LARCH models
- Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- GARCH processes: structure and estimation
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Generalized autoregressive conditional heteroscedasticity
- A model for long memory conditional heteroscedasticity.
- Dependence in probability and statistics.
- On the measurability and consistency of minimum contrast estimates
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A Smoothed Maximum Score Estimator for the Binary Response Model
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Quadratic ARCH Models
This page was built for publication: ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS