\(L_{p}\)-estimators in ARCH models
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Publication:1417811
DOI10.1016/S0378-3758(02)00488-3zbMath1032.62084OpenAlexW2067123536MaRDI QIDQ1417811
Lajos Horváth, Friedrich Liese
Publication date: 6 January 2004
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0378-3758(02)00488-3
Asymptotic properties of parametric estimators (62F12) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05)
Related Items (21)
WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE ⋮ On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process ⋮ Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero ⋮ Estimating GARCH models: when to use what? ⋮ Estimation and testing for a Poisson autoregressive model ⋮ Normalized least-squares estimation in time-varying ARCH models ⋮ The \(L_{1}\) strong consistency of ARCH innovation density estimator ⋮ Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models ⋮ Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models ⋮ Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions ⋮ Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models ⋮ Asymptotics of $L_\lambda$ -Norms of ARCH(p) Innovation Density Estimators ⋮ Asymptotics for L2-norm of ARCH innovation density estimator ⋮ Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance ⋮ Weighted least absolute deviations estimation for periodic ARMA models ⋮ Asymptotic properties in ARCH(p)-time series ⋮ Inconsistency of the MLE and inference based on weighted LS for LARCH models ⋮ Inference for mean change-point in infinite variance \(AR(p)\) process ⋮ Non-standard inference for augmented double autoregressive models with null volatility coefficients ⋮ Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models ⋮ TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
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