On Efficient Inference in GARCH Processes

DOI10.1007/0-387-36062-X_14MaRDI QIDQ3416896zbMATH OpenOpenAlexFDO

Authors Jean-Michel Zakoïan, C. Francq

Publication date 9 January 2007

Published in Lecture Notes in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/0-387-36062-x_14

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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Cited in

(24)

• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Efficiency comparisons of maximum-likelihood-based estimators in 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 the QMLE in a log-linear RealGARCH model with Gaussian errors
• Testing the existence of moments for GARCH processes
• Inference for 2-D GARCH models
• Assessing the bias of maximum likelihood estimates of contaminated garch models
• Estimating weak GARCH representations
• Monte Carlo posterior integration in GARCH models
• Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
• RANK-BASED ESTIMATION FOR GARCH PROCESSES
• Recursive Estimation of GARCH Models
• A Tour in the Asymptotic Theory of GARCH Estimation
• Inference in nonstationary asymmetric GARCH models
• Assessment of Local Influence in GARCH Processes
• On convergence of the QMLE for misspecified GARCH models
• Asymptotic theory for QMLE for the real-time GARCH\((1,1)\) model
• Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
• Quasi-likelihood estimation in volatility models for semi-continuous time series
• Finite moments testing in a general class of nonlinear time series models
• Hurdle GARCH models for nonnegative time series
• Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
• Guaranteed detection of an imbalance instant of the GARCH-process

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