Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models

DOI10.1016/J.SPL.2014.03.027MaRDI QIDQ2454005zbMATH OpenOpenAlexFDO

Authors Hui Wang, Jiazhu Pan

Publication date 12 June 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://strathprints.strath.ac.uk/49282/

zbMATH Keywords

consistencyNM-QMLE

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
• Estimation and tests for power-transformed and threshold GARCH models
• Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations
• GARCH processes: structure and estimation
• Generalized autoregressive conditional heteroscedasticity
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Maximum Likelihood Estimation of Misspecified Models
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Minimum Hellinger distance estimates for parametric models
• NM-QELE for ARMA-GARCH models with non-Gaussian innovations
• Normal mixture quasi-maximum likelihood estimator for GARCH models
• On a Mixture GARCH Time-Series Model
• Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
• Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
• Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
• Testing Statistical Hypotheses
• The efficiency of the estimators of the parameters in GARCH processes.

Cited in

(7)

• NM-QELE for ARMA-GARCH models with non-Gaussian innovations
• Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation
• Adaptive quasi-maximum likelihood estimation of GARCH models with Student's t likelihood
• Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models
• Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients
• Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model
• Normal mixture quasi-maximum likelihood estimator for GARCH models

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