Efficiency comparisons of maximum-likelihood-based estimators in GARCH models

DOI10.1016/S0304-4076(99)00005-6MaRDI QIDQ1808557zbMATH OpenFDO

Authors Gloria González-Rivera, Feike C. Drost

Publication date 13 August 2000

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://research.tilburguniversity.edu/en/publications/7a28bbc8-e8d6-4dbe-874e-533d6dc8ee8a

zbMATH Keywords

Fisher information matrixMLEQMLEsemiparametric estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• scientific article; zbMATH DE number 1222304
• The efficiency of the estimators of the parameters in GARCH processes.
• On the efficiency of a semi-parametric GARCH model
• On Efficient Inference in GARCH Processes

Cites work

• A note on adaptation in garch models
• Adaptive estimation in time-series models
• Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Efficient estimation in nonlinear autoregressive time-series models
• Efficient estimation in semiparametric GARCH models
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 5002302 (Why is no real title available?)
• scientific article; zbMATH DE number 3604233 (Why is no real title available?)
• scientific article; zbMATH DE number 490141 (Why is no real title available?)
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Semiparametric efficiency bounds

Cited in

(22)

• On relative efficiency of quasi-MLE and GMM estimators of covariance structure models
• Fat tails and asymmetry in financial volatility models.
• Maximum entropy test for GARCH models
• The efficiency of the estimators of the parameters in GARCH processes.
• Specification tests for the error distribution in GARCH models
• Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients
• Semiparametric multivariate volatility models
• On the efficiency of a semi-parametric GARCH model
• GSH dependence modeling with an application to risk management
• Semiparametric multivariate GARCH models
• Minimum alpha-divergence estimation for arch models
• Transformations to symmetry based on the probability weighted characteristic function.
• BL-GARCH models with elliptical distributed innovations
• Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes
• scientific article; zbMATH DE number 1222304 (Why is no real title available?)
• Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
• Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models
• Rao's score test with nonparametric density estimators
• Reconsidering the gains in efficiency from ML estimation versus OLS in ARCH models
• Stochastic variational inference for GARCH models
• Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
• GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference

This page was built for publication: Efficiency comparisons of maximum-likelihood-based estimators in GARCH models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1808557)