Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models (Q2454005)

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Language	Label	Description	Also known as
English	Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models	scientific article

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scholarly article

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Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models (English)

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Statistics \& Probability Letters

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publication date

12 June 2014

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full work available at URL

https://strathprints.strath.ac.uk/49282/

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zbMATH Keywords

NM-QMLE

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consistency

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MaRDI profile type

MaRDI publication profile

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Minimum Hellinger distance estimates for parametric models

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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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Generalized autoregressive conditional heteroscedasticity

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

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Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models

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

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Inference in Arch and Garch Models with Heavy-Tailed Errors

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Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations

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Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes

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Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.

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

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ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH

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Testing Statistical Hypotheses

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ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS

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Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

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Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.

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Estimation and tests for power-transformed and threshold GARCH models

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Maximum Likelihood Estimation of Misspecified Models

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On a Mixture GARCH Time-Series Model

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Identifiers

zbMATH Open document ID

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10.1016/j.spl.2014.03.027

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2454005

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