Inference in Arch and Garch Models with Heavy-Tailed Errors

DOI10.1111/1468-0262.00396MaRDI QIDQ5472959zbMATH OpenOpenAlexFDO

Authors Qiwei Yao, Peter Hall

Publication date 19 June 2006

Published in Econometrica (Search for Journal in Brave)

Full work available at URL http://eprints.lse.ac.uk/5875/

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

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• On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity
• Break detection in the covariance structure of multivariate time series models
• Nonparametric estimates for conditional quantiles of time series
• Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
• Nonstationary GARCH with \(t\)-distributed innovations
• The ZD-GARCH model: a new way to study heteroscedasticity
• A note on the QMLE limit theory in the non-stationary ARCH(1) model
• Tail behavior and dependence structure in the APARCH model
• Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model
• Copula parameter change test for nonlinear AR models with nonlinear GARCH errors
• Exact tests based on the Baumgartner-Weiß-Schindler statistic -- a survey
• Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes
• Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model
• Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
• Interval estimation of the tail index of a GARCH(1,1) model
• Inference for conditional value-at-risk of a predictive regression
• Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
• Nearly nonstationary processes under infinite variance GARCH noises
• Non asymptotic controls on a recursive superquantile approximation
• Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
• Consistent non-Gaussian pseudo maximum likelihood estimators
• On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators
• High moment partial sum processes of residuals in GARCH models and their applications
• M-estimation for periodic GARCH model with high-frequency data
• Estimation in a class of nonlinear heteroscedastic time series models
• Least absolute deviation estimation of autoregressive conditional duration model
• Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models
• Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
• On the empirical characteristic function process of the residuals in GARCH models and applications
• Robust estimation and inference for heavy tailed GARCH
• Robust M-estimate of GJR model with high frequency data
• Density estimation for nonlinear parametric models with conditional heteroscedasticity
• Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
• Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
• Time-varying asymmetry and tail thickness in long series of daily financial returns
• Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
• Targeting estimation of CCC-GARCH models with infinite fourth moments
• Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model
• Quantile regression for location-scale time series models with conditional heteroscedasticity
• Smoothed empirical likelihood for GARCH models with heavy-tailed errors
• Least tail-trimmed squares for infinite variance autoregressions
• Asymptotic and bootstrap inference for inequality and poverty measures
• Income distribution and inequality measurement: the problem of extreme values
• Estimation and tests for power-transformed and threshold GARCH models
• Inference for Box-Cox transformed threshold GARCH models with nuisance parameters
• Limit theory for a general class of GARCH models with just barely infinite variance
• Asymptotic Behavior of Conditional Least Squares Estimators for Unstable Integer-valued Autoregressive Models of Order 2
• Testing for multivariate volatility functions using minimum volume sets and inverse regression
• On the efficiency of a semi-parametric GARCH model
• On stationarity and ergodicity of the bilinear model with applications to GARCH models
• Bootstrapping a weighted linear estimator of the ARCH parameters
• Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
• Asymptotics for parametric GARCH-in-mean models
• Structure and estimation of a class of nonstationary yet nonexplosive GARCH models
• Conditional value-at-risk: semiparametric estimation and inference
• Statistical inference for nonparametric GARCH models
• RANK-BASED ESTIMATION FOR GARCH PROCESSES
• Risk–return relationship in equity markets: using a robust GMM estimator for GARCH-M models
• A CLT for martingale transforms with infinite variance
• Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence
• A general Bayesian model for heteroskedastic data with fully conjugate full-conditional distributions
• Let's get LADE: robust estimation of semiparametric multiplicative volatility models
• Limit Theory for the QMLE of the GQARCH (1,1) Model
• Estimating GARCH models: when to use what?
• M-ESTIMATION IN GARCH MODELS
• A multivariate heavy-tailed distribution for ARCH/GARCH residuals
• Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
• ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES
• QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• QML inference for volatility models with covariates
• A note on stable limit theory for the OLSE with non usual rates and the heteroskedasticity robust Wald test
• On dynamics of volatilities in nonstationary GARCH models
• Asymptotic behavior of CLS estimators for 2-type doubly symmetric critical Galton-Watson processes with immigration
• Robust score and portmanteau tests of volatility spillover
• Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models
• Quantile regression estimator for GARCH models
• Nonparametric simultaneous tests for location and scale testing: a comparison of several methods
• Empirical likelihood test for the application of SWQMELE in fitting an ARMA-GARCH model
• R-estimation in semiparametric dynamic location-scale models
• Robust and efficient estimation of GARCH models based on Hellinger distance
• Estimation and tests for TGTACH$\bm{(1, 1)}$ models with heavy-tailed errors: A uniform framework
• Oracally efficient estimation and testing for an ARCH model with trend
• Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
• Wild bootstrap of the sample mean in the infinite variance case
• Test for zero median of errors in an ARMA-GARCH model
• Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors
• Empirical characteristic function tests for GARCH innovation distribution using multipliers
• Bootstrap inference for GARCH models by the least absolute deviation estimation
• On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model
• Empirical likelihood for AR-ARCH models based on LAD estimation
• Two-step estimation for time varying ARCH models
• On the three-step non-Gaussian quasi-maximum likelihood estimation of heavy-tailed double autoregressive models
• ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
• HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
• Tail and nontail memory with applications to extreme value and robust statistics
• A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models
• A parametric bootstrap for heavy-tailed distributions
• Moment condition tests for heavy tailed time series
• Likelihood-Based Inference in Autoregressive Models with Scaledt-Distributed Innovations by Means of EM-Based Algorithms

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