On approximate pseudo-maximum likelihood estimation for LARCH-processes

DOI10.3150/09-BEJ189MaRDI QIDQ605885zbMATH OpenFDO

Authors Jan Beran, Martin Schützner

Publication date 15 November 2010

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1001.1825

zbMATH Keywords

asymptotic distributionlong-range dependenceparametric estimationvolatilityLARCH process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Abstract: Linear ARCH (LARCH) processes were introduced by Robinson [J. Econometrics 47 (1991) 67--84] to model long-range dependence in volatility and leverage. Basic theoretical properties of LARCH processes have been investigated in the recent literature. However, there is a lack of estimation methods and corresponding asymptotic theory. In this paper, we consider estimation of the dependence parameters for LARCH processes with non-summable hyperbolically decaying coefficients. Asymptotic limit theorems are derived. A central limit theorem with $sqrtn$-rate of convergence holds for an approximate conditional pseudo-maximum likelihood estimator. To obtain a computable version that includes observed values only, a further approximation is required. The computable estimator is again asymptotically normal, however with a rate of convergence that is slower than $sqrtn.$

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Cited in

(7)

• ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS
• A generalized nonlinear model for long memory conditional heteroscedasticity
• A new estimator for LARCH processes
• A nonlinear model for long-memory conditional heteroscedasticity
• Quasi-maximum likelihood estimation of long-memory linear processes
• QMLE for quadratic ARCH model with long memory
• On location estimation for LARCH processes

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