A Weighted Linear Estimator of Multivariate ARCH Parameters

DOI10.1080/03610918.2010.546544MaRDI QIDQ3015866zbMATH OpenOpenAlexFDO

Authors Farhat Iqbal

Publication date 13 July 2011

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2010.546544

zbMATH Keywords

VaRweighted resampling

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Bootstrapping a weighted linear estimator of the ARCH parameters
• Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases
• Parameter estimation in the ARCH model with weighted liquidity
• Weighted empirical likelihood inferences for a class of varying coefficient ARCH-M models
• Estimating multivariate ARCH parameters by two-stage least-squares method
• M-estimation and linear hypothesis testing in the ARCH model
• scientific article; zbMATH DE number 906967
• Estimation and strict stationarity testing of ARCH processes based on weighted least squares
• Weighted averages and local polynomial estimation for fractional linear ARCH processes
• Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors

Cites work

• Analysis of Financial Time Series
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bootstrapping a weighted linear estimator of the ARCH parameters
• Estimating multivariate ARCH parameters by two-stage least-squares method
• ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
• Generalized autoregressive conditional heteroscedasticity
• Generalized bootstrap for estimating equations
• The Multivariate Portmanteau Statistic

Cited in

(4)

• Estimation and strict stationarity testing of ARCH processes based on weighted least squares
• Bootstrapping a weighted linear estimator of the ARCH parameters
• Weighted empirical likelihood estimator for vector multiplicative error model
• Weighted empirical likelihood inferences for a class of varying coefficient ARCH-M models

This page was built for publication: A Weighted Linear Estimator of Multivariate ARCH Parameters

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3015866)