Inference for asymmetric exponentially weighted moving average models

DOI10.1111/JTSA.12464MaRDI QIDQ5111784zbMATH OpenOpenAlexWikidataFDO

Authors Dong Li, Ke Zhu

Publication date 27 May 2020

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12464

zbMATH Keywords

asymmetric EWMA modelmaximum likelihood estimationnon-stationarityvolatility model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20) Identification in stochastic control theory (93E12)

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Cites work

• An ARCH model without intercept
• Dynamic models for volatility and heavy tails. With applications to financial and economic time series
• EGARCH models with fat tails, skewness and leverage
• Estimation in conditionally heteroscedatic time series models.
• Estimation When a Parameter is on a Boundary
• Martingale Approach in the Theory of Goodness-of-Fit Tests
• Nonstationary GARCH with \(t\)-distributed innovations
• Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
• Realistic Statistical Modelling of Financial Data
• Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons
• The efficiency of the estimators of the parameters in GARCH processes.
• The ZD-GARCH model: a new way to study heteroscedasticity

Cited in

(4)

• Cost-sensitive estimation of ARMA models for financial asset return data
• EWMA historical volatility estimators
• Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
• Industrial Forecasting with Exponentially Smoothed Recurrent Neural Networks

Describes a project that uses

Uses Software

• RiskMetrics

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