Parameter estimation in nonlinear AR-GARCH models (Q3108567)

scientific article; zbMATH DE number 5994522

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English	Parameter estimation in nonlinear AR-GARCH models	scientific article; zbMATH DE number 5994522

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title

PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS (English)

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4 January 2012

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MaRDI profile type

MaRDI publication profile

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cites work

Estimation and tests for power-transformed and threshold GARCH models

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Stability of nonlinear AR-GARCH models

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Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model

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Kalman Filtering with Random Coefficients and Contractions

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ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS

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Evaluating GARCH models.

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Generalized autoregressive conditional heteroscedasticity

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Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

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ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS

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GARCH processes: structure and estimation

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Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors

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On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity

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Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models

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Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes

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Non‐linear GARCH models for highly persistent volatility

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Asymptotic properties of nonlinear least squares estimates in stochastic regression models

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Asymptotics of the QMLE for Non-Linear ARCH Models

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ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS

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ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH

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Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model

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SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS

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Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero

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Estimation in nonlinear time series models

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Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

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QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS

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Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Basic structure of the asymptotic theory in dynamic nonlinear econometric models

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Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts

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Stochastic Limit Theory

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On the measurability and consistency of minimum contrast estimates

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Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models

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full work available at URL

https://doi.org/10.1017/s0266466611000041

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Identifiers

zbMATH Open document ID

1228.62112

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DOI

10.1017/S0266466611000041

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Mathematics Subject Classification ID

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Mathematics(1 entry)

mardi Publication:3108567