Parameter Estimation in Conditional Heteroscedastic Models

DOI10.1081/STA-120021324MaRDI QIDQ4707029zbMATH OpenOpenAlexFDO

Authors Snigdhansu Chatterjee, Samarjit Das

Publication date 4 June 2003

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sta-120021324

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12)

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Cites work

• A Class of Nonlinear Arch Models
• A nonlinear time series model and estimation of missing observations
• ARCH modeling in finance. A review of the theory and empirical evidence
• ARCH models and financial applications
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bootstrap methods: another look at the jackknife
• Conditional Heteroscedastic Time Series Models
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
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• Prediction via estimating functions
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Some statistical results on autoregressive conditionally heteroscedastic models

Cited in

(13)

• Estimation of the conditional distribution of a multivariate variable given that one of its components is large: additional constraints for the Heffernan and Tawn model
• Testing for local covariate trend effects in volatility models
• Estimation in a class of nonlinear heteroscedastic time series models
• Neglected heterogeneity in moment condition models
• Density estimation for nonlinear parametric models with conditional heteroscedasticity
• On prediction intervals for conditionally heteroscedastic processes
• On the properties of the likelihood function of Spanos' conditional t heteroskedastic model
• Estimation and Inference for Heteroscedastic Systems of Equations
• On a multivariate conditional heteroscedastic model
• QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations.
• scientific article; zbMATH DE number 799018 (Why is no real title available?)
• Nonlinear recursive estimation of volatility via estimating functions
• Parameter estimation in linear models with heteroscedastic variances subject to order restrictions

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