An ARCH model without intercept
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Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Sums of independent random variables; random walks (60G50)
Recommendations
- A note on the QMLE limit theory in the non-stationary ARCH(1) model
- On Asymptotic Theory for ARCH (∞) Models
- Asymptotic theory of univariate GARCH estimation: stationary and nonstationary case
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- Generalized autoregressive conditional heteroscedasticity
Cites work
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Generalized autoregressive conditional heteroscedasticity
- Handbook of Volatility Models and Their Applications
- Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
Cited in
(5)- A simulation study on the Markov regime-switching zero-drift GARCH model
- Inference for asymmetric exponentially weighted moving average models
- A new generalized exponentially weighted moving average quantile model and its statistical inference
- The ZD-GARCH model: a new way to study heteroscedasticity
- Double AR model without intercept: an alternative to modeling nonstationarity and heteroscedasticity
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