Efficient estimation in semiparametric GARCH models
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Publication:1372928
DOI10.1016/S0304-4076(97)00042-0zbMATH Open0944.62120MaRDI QIDQ1372928FDOQ1372928
Authors: Feike C. Drost, Chris A. J. Klaassen 
Publication date: 26 September 2000
Published in: Journal of Econometrics (Search for Journal in Brave)
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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Cited In (45)
- An adaptive estimation of MAVE
- Efficient estimation in smooth threshold autoregressive(1) models
- Semiparametric time series models with log-concave innovations: maximum likelihood estimation and its consistency
- Semiparametric multivariate GARCH models
- Semiparametric efficient adaptive estimation of the GJR-GARCH model
- On the efficiency of a semi-parametric GARCH model
- Semiparametric efficient adaptive estimation of asymmetric GARCH models
- Weighted approximations of tail processes for \(\beta\)-mixing random variables.
- A nonparametric regression estimator that adapts to error distribution of unknown form
- Asymptotic nonequivalence of GARCH models and diffusions
- Residual-based rank specification tests for AR-GARCH type models
- Minimum alpha-divergence estimation for arch models
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
- Semiparametric multivariate volatility models
- Adaptive estimation in time-series models
- The efficiency of the estimators of the parameters in GARCH processes.
- Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions
- Semi- and nonparametric ARCH processes
- On adaptive estimation in nonstationary ARMA models with GARCH errors
- Semiparametric GARCH via Bayesian Model Averaging
- Semiparametric inference in a GARCH-in-mean model
- Dynamic Autoregressive Liquidity (DArLiQ)
- Spline estimation of a semiparametric GARCH model
- Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
- Estimation of SEM with GARCH errors
- LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS
- Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data
- Consistent non-Gaussian pseudo maximum likelihood estimators
- Semiparametric score driven volatility models
- Testing for parameter constancy in GARCH\((p,q)\) models
- Local Likelihood for non‐parametric ARCH(1) models
- Quantile regression estimator for GARCH models
- Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form
- Adaptive estimation for varying coefficient models
- Testing the existence of moments for GARCH processes
- On the test of the volatility proxy model
- Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
- R-estimation in semiparametric dynamic location-scale models
- Parametric and semi-parametric efficient tests for parameter instability
- Feasible optimum Godambe scores for a semi-parametric GARCH time series
- Adaptive estimation of cointegrating regressions with ARMA errors
- Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
- Tests against inequality constraints in semiparametric models
- TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
- Inference in nonstationary asymmetric GARCH models
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