On the efficiency of a semi-parametric GARCH model

DOI10.1111/J.1368-423X.2010.00337.XMaRDI QIDQ3018505zbMATH OpenFDO

Authors Jianing Di, Ashis K. Gangopadhyay

Publication date 27 July 2011

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1368-423X.2010.00337.X

zbMATH Keywords

adaptive estimationefficiencyGARCHkernelsemi-parametric

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

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Cites work

• A note on adaptation in garch models
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• Asymptotics for Semiparametric Econometric Models Via Stochastic Equicontinuity
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• Dependent central limit theorems and invariance principles
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• Efficient estimation in semiparametric GARCH models
• Generalized autoregressive conditional heteroscedasticity
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• The efficiency of the estimators of the parameters in GARCH processes.
• The rate of consistency of the quasi-maximum likelihood estimator.
• Whittle estimation in a heavy-tailed GARCH(1,1) model.

Cited in

(15)

• Efficient estimation in semiparametric GARCH models
• Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
• The efficiency of the estimators of the parameters in GARCH processes.
• Estimation of SEM with GARCH errors
• A data-dependent approach to modeling volatility in financial time series
• Spline estimation of a semiparametric GARCH model
• WHY DOES THE STANDARD GARCH(1, 1) MODEL WORK WELL?
• Semi-parametric modelling in finance: theoretical foundations
• Feasible optimum Godambe scores for a semi-parametric GARCH time series
• Semiparametric time series models with log-concave innovations: maximum likelihood estimation and its consistency
• Detecting volatility persistence in GARCH models in the presence of the leverage effect
• A semiparametric approach to the detection of change-points in volatility dynamics of financial data
• Improved estimation of dynamic models of conditional means and variances
• Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
• A white noise test under weak conditions

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