Nonstationary GARCH with t-distributed innovations

DOI10.1016/J.ECONLET.2015.11.016MaRDI QIDQ1667982zbMATH OpenOpenAlexFDO

Authors Rasmus Søndergaard Pedersen, Anders Rahbek

Publication date 31 August 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2015.11.016

zbMATH Keywords

maximum likelihoodasymptotic theoryGARCHnonstationarity\(t\)-distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Recommendations

• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Statistical inference for non-stationary GARCH(\(p\),\(q\)) models
• Structure and estimation of a class of nonstationary yet nonexplosive GARCH models
• Asymptotic theory of univariate GARCH estimation: stationary and nonstationary case
• Nonparametric estimation of a time-varying GARCH model

Cites work

• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
• Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
• Estimation in conditionally heteroscedatic time series models.
• GARCH processes: structure and estimation
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Inference in nonstationary asymmetric GARCH models
• Stationarity of GARCH processes and of some nonnegative time series
• Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
• The efficiency of the estimators of the parameters in GARCH processes.
• The rate of consistency of the quasi-maximum likelihood estimator.

Cited in

(10)

• On strict stationarity of nonlinear ARMA processes with nonlinear GARCH innovations
• Inference for asymmetric exponentially weighted moving average models
• BL-GARCH models with elliptical distributed innovations
• Testing GARCH-X type models
• Cointegration models with non Gaussian GARCH innovations
• Testing the existence of moments for GARCH processes
• Statistical inference for non-stationary GARCH(\(p\),\(q\)) models
• Asymptotic normality of the MLE in the level-effect ARCH model
• RCA model with quadratic GARCH innovation distribution
• Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model

This page was built for publication: Nonstationary GARCH with \(t\)-distributed innovations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1667982)