Efficient estimation in semiparametric GARCH models
From MaRDI portal
Publication:1372928
DOI10.1016/S0304-4076(97)00042-0zbMATH Open0944.62120MaRDI QIDQ1372928FDOQ1372928
Recommendations
Cites work
- scientific article; zbMATH DE number 3986476 (Why is no real title available?)
- scientific article; zbMATH DE number 3703820 (Why is no real title available?)
- scientific article; zbMATH DE number 490141 (Why is no real title available?)
- scientific article; zbMATH DE number 3258670 (Why is no real title available?)
- A characterization of limiting distributions of regular estimates
- ARCH modeling in finance. A review of the theory and empirical evidence
- ARCH models as diffusion approximations
- Adaptive estimation in time series regression models
- Adaptive estimation in time-series models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Closing the GARCH gap: Continuous time GARCH modeling
- Comment on `Adaptive estimation in time series regression models' by D. G. Steigerwald
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Consistent estimation of the influence function of locally asymptotically linear estimators
- Efficient estimation in nonlinear autoregressive time-series models
- Empirical modeling of exchange rate dynamics
- Generalized autoregressive conditional heteroscedasticity
- Modelling the persistence of conditional variances
- On adaptive estimation
- On adaptive estimation in stationary ARMA processes
- On asymptotically efficient estimation in semiparametric models
- Qualitative threshold ARCH models
- Reply to B. M. Pötscher's comment on `Adaptive estimation in time series regression models'
- Robust Statistics
- Semiparametric efficiency bounds
- Temporal Aggregation of Garch Processes
Cited in
(45)- On adaptive estimation in nonstationary ARMA models with GARCH errors
- Weighted approximations of tail processes for \(\beta\)-mixing random variables.
- Quantile regression estimator for GARCH models
- Dynamic Autoregressive Liquidity (DArLiQ)
- Estimation of SEM with GARCH errors
- TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
- An adaptive estimation of MAVE
- Semiparametric efficient adaptive estimation of asymmetric GARCH models
- On the efficiency of a semi-parametric GARCH model
- Consistent non-Gaussian pseudo maximum likelihood estimators
- Asymptotic nonequivalence of GARCH models and diffusions
- Parametric and semi-parametric efficient tests for parameter instability
- Semiparametric score driven volatility models
- Adaptive estimation for varying coefficient models
- Efficient estimation in smooth threshold autoregressive(1) models
- Semiparametric GARCH via Bayesian Model Averaging
- Adaptive estimation in time-series models
- Semiparametric multivariate volatility models
- Adaptive estimation of cointegrating regressions with ARMA errors
- Testing the existence of moments for GARCH processes
- The efficiency of the estimators of the parameters in GARCH processes.
- Semiparametric multivariate GARCH models
- Semi- and nonparametric ARCH processes
- Inference in nonstationary asymmetric GARCH models
- Testing for parameter constancy in GARCH\((p,q)\) models
- Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data
- Semiparametric time series models with log-concave innovations: maximum likelihood estimation and its consistency
- Spline estimation of a semiparametric GARCH model
- Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions
- Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
- Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
- A nonparametric regression estimator that adapts to error distribution of unknown form
- Residual-based rank specification tests for AR-GARCH type models
- Semiparametric inference in a GARCH-in-mean model
- Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
- Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form
- LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS
- Local Likelihood for non‐parametric ARCH(1) models
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
- R-estimation in semiparametric dynamic location-scale models
- Feasible optimum Godambe scores for a semi-parametric GARCH time series
- Minimum alpha-divergence estimation for arch models
- Tests against inequality constraints in semiparametric models
- Semiparametric efficient adaptive estimation of the GJR-GARCH model
- On the test of the volatility proxy model
This page was built for publication: Efficient estimation in semiparametric GARCH models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1372928)
