Whittle estimation of EGARCH and other exponential volatility models (Q2628845)

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English	Whittle estimation of EGARCH and other exponential volatility models	scientific article

Statements

scholarly article

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Whittle estimation of EGARCH and other exponential volatility models (English)

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Paolo Zaffaroni

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Journal of Econometrics

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publication date

18 July 2016

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zbMATH Keywords

EGARCH

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GJR

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stochastic volatility

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Whittle estimation

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asymptotics

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2009.03.008

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Modeling and pricing long memory in stock market volatility

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The detection and estimation of long memory in stochastic volatility

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Time series: theory and methods

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Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment

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A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise

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

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Central limit theorems for quadratic forms in random variables having long-range dependence

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WHITTLE ESTIMATION OF ARCH MODELS

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A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate

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On the invertibility of time series models

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The asymptotic theory of linear time-series models

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Multivariate Stochastic Variance Models

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PREDICTION AND SIGNAL EXTRACTION OF STRONGLY DEPENDENT PROCESSES IN THE FREQUENCY DOMAIN

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A limit theory for long-range dependence and statistical inference on related models

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A central limit theorem for stationary processes and the parameter estimation of linear processes

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On a Method of Calculation of Semi-Invariants

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Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1

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Temporal aggregation of volatility models

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Conditional Heteroskedasticity in Asset Returns: A New Approach

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

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Alternative models for stationary stochastic processes

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Rates of convergence and optimal spectral bandwidth for long range dependence

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Estimation in conditionally heteroscedatic time series models.

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

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On estimation of the integrals of the fourth order cumulant spectral density

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Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

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Gaussian inference on certain long-range dependent volatility models

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.JECONOM.2009.03.008

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Sitelinks

Mathematics(1 entry)

mardi Publication:2628845

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