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

DOI10.1016/J.SPL.2014.03.027zbMATH Open1288.62132OpenAlexW1995981381MaRDI QIDQ2454005FDOQ2454005

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/

Recommendations

• Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models
• Normal mixture quasi-maximum likelihood estimator for GARCH models
• scientific article; zbMATH DE number 1810258
• Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes
• Maximum likelihood estimation of the multivariate normal mixture model
• Nonlinear random effects mixture models: maximum likelihood estimation via the EM algorithm
• Estimation of the variance for the maximum likelihood estimates in normal mixture models and normal hidden Markov models
• Generalized maximum likelihood estimation of normal mixture densities

zbMATH Keywords

consistencyNM-QMLE

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (4)

• NM-QELE for ARMA-GARCH models with non-Gaussian innovations
• Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation
• Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients
• Normal mixture quasi-maximum likelihood estimator for GARCH models

This page was built for publication: Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2454005)