Estimation in conditionally heteroscedatic time series models.
The book deals with conditionally heteroscedastic time series models. It covers classical and new topics of parameter estimation in such models. The author studies a general conditionally heteroscedastic time series model of the form \[ X_t=\sigma_t Z_t, \quad\sigma_t^2=g_\theta (X_{t-1},\dots,X_{t-p},\sigma_{t-1}^2,\dots,\sigma_{t-q}^2), \quad t\in Z.\tag{1} \] He starts with basic concepts and a survey of known financial time series models, and their properties and probabilistic tools for their investigation. Then a short overview on the estimation in ARMA models, quasi maximum likelihood (QMLE) and Whittle estimators for GARCH processes, and asymptotic properties, introduces the readers to the problems and methods considered in the following chapters. In the next chapter, the author develops a unifying theory for QMLE in model (1) which is based on techniques of stochastic recurrence equations. Applications to AGARCH and EGARCH time series are demonstrated. The maximum likelihood estimator (MLE) in the model (1) is investigated in chapter 6. Consistency and asymptotic normality of the MLE are established. A case of Student innovations \(Z_t\) is considered. In this part of the book, problems related to misspecification of the innovations distribution are discussed. In the next chapter, QMLE in model (1) with heavy-tailed innovations is studied. The last chapter is devoted to investigation of the properties of the Whittle estimator in a heavy-tailed GARCH(1,1) model. There are a lot of various examples and remarks which clarify the presented general results. Some numerical examples and simulations are given. Detailed discussions and comparisons with known results are presented in each chapter.
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions
- Parameter estimation in nonlinear AR-GARCH models
- scientific article; zbMATH DE number 799018
- Whittle estimation in a heavy-tailed GARCH(1,1) model.
- Saddlepoint approximations for the doubly noncentral t distribution
- On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity
- Finite sample properties of the ARCH class of models with stochastic volatility
- SUR estimation of multiple time-series models with heteroscedasticity and serial correlation of unknown form
- Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares
- Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models
- Smoothed conditional scale function estimation in AR(1)-ARCH(1) processes
- Linking Tukey's legacy to financial risk measurement
- Nonstationary GARCH with \(t\)-distributed innovations
- A note on the QMLE limit theory in the non-stationary ARCH(1) model
- Weak law of large numbers for linear processes
- Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
- Whittle estimation in a heavy-tailed GARCH(1,1) model.
- Nonlinear least squares estimation of Log-ACD models
- Generalized autoregressive conditional heteroscedasticity
- On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
- Statistical inference for non-stationary GARCH(p,q) models
- M-estimate for the stationary hyperbolic GARCH models
- Multivariate time series models for mixed data
- A time-varying parameter model for local explosions
- Maximum likelihood estimation for score-driven models
- Noise inference for ergodic Lévy driven SDE
- GARCH-type factor model
- Tails of bivariate stochastic recurrence equation with triangular matrices
- Contrast estimation of time-varying infinite memory processes
- Accelerating score-driven time series models
- On the existence of strongly consistent indirect estimators when the binding function is compact valued
- Normalized least-squares estimation in time-varying ARCH models
- Estimation in a class of nonlinear heteroscedastic time series models
- Estimating the error distribution in multivariate heteroscedastic time-series models
- Whittle estimation of EGARCH and other exponential volatility models
- Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
- Tail indices for \(AX+B\) recursion with triangular matrices
- Approximating volatilities by asymmetric power GARCH functions
- On Fréchet autoregressive conditional duration models
- Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
- Joint and marginal specification tests for conditional mean and variance models
- Dynamic models for volatility and heavy tails. With applications to financial and economic time series
- Asymptotics for parametric GARCH-in-mean models
- Structure and estimation of a class of nonstationary yet nonexplosive GARCH models
- A CLT for martingale transforms with infinite variance
- Limit Theory for the QMLE of the GQARCH (1,1) Model
- A model specification test for GARCH(1,1) processes
- Estimating GARCH models: when to use what?
- Pendekatan model autoregressive conditional heteroskedasticity (ARCH)
- Locally Time Homogeneous Time Series Modelling
- Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate
- Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
- H(curl) auxiliary mesh preconditioning
- A light-tailed conditionally heteroscedastic model with applications to river flows
- Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
- QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
- Autoregressive Conditional Density Estimation
- A tobit model with garch errors
- Spectral estimation in the presence of missing data
- Componentwise different tail solutions for bivariate stochastic recurrence equations with application to \(\text{GARCH}(1,1)\) processes
- scientific article; zbMATH DE number 2135749 (Why is no real title available?)
- Parameter Estimation in Conditional Heteroscedastic Models
- Slope influence diagnostics in conditional heteroscedastic time series models
- scientific article; zbMATH DE number 799018 (Why is no real title available?)
- Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach
- Integer-valued asymmetric GARCH modeling
- Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach
- Feasible optimum Godambe scores for a semi-parametric GARCH time series
- Quasi-maximum likelihood estimation of GARCH with Student distributed noise
- On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series
- Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations
- scientific article; zbMATH DE number 7578230 (Why is no real title available?)
- Inference for asymmetric exponentially weighted moving average models
- Extracting conditionally heteroskedastic components using independent component analysis
- Non-ergodic martingale estimating functions and related asymptotics
- Robust fitting of INARCH models
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
- Affine stochastic equation with triangular matrices
- Statistical inference for measurement equation selection in the log-RealGARCH model
- Testing GARCH-X type models
- Asymmetric COGARCH processes
- Nonlinear time series modeling and forecasting for periodic and arch effects
- Likelihood inference for discriminating between long-memory and change-point models
- Least squares estimation of ARCH models with missing observations
- Pseudo‐likelihood estimation in ARCH models
- Estimation in real data set by Split-ARCH model
- Semiparametric modeling of multiple quantiles
- Stochastic properties of nonlinear locally-nonstationary filters
- A new estimator for LARCH processes
- Estimation and testing for a Poisson autoregressive model
- Exponential-Type GARCH Models With Linear-in-Variance Risk Premium
- Quasi-maximum likelihood estimation of long-memory linear processes
- Asymptotic properties of M-estimator for GARCH(1, 1) model parameters
- The Markov approximation of the periodic multivariate Poisson autoregression
- Finite moments testing in a general class of nonlinear time series models
- On joint testing of changes in conditional mean and variance functions of stationary and ergodic time series
- A comment on: ``Autoregressive conditional duration: a new model for irregularly spaced transaction data
- On QML-estimation of multivariate constant conditional correlation hyperbolic GARCH models
- Stable limits for sums of dependent infinite variance random variables
- Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions
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