Asymptotic efficiency of conditional least squares estimators for ARCH models

DOI10.1016/J.SPL.2007.05.016MaRDI QIDQ2476827zbMATH OpenOpenAlexFDO

Authors Tomoyuki Amano, Masanobu Taniguchi

Publication date 12 March 2008

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

Full work available at URL https://doi.org/10.1016/j.spl.2007.05.016

zbMATH Keywords

ARCH modelasymptotic efficiencyconditional least squares estimatorlocal asymptotic normality

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Asymptotic theory of statistical inference for time series
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Estimation in nonlinear time series models
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3169867 (Why is no real title available?)
• scientific article; zbMATH DE number 2148871 (Why is no real title available?)
• scientific article; zbMATH DE number 3318349 (Why is no real title available?)
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

Cited in

(12)

• Asymptotic normality of the MLE in the level-effect ARCH model
• Asymptotic properties of conditional least-squares estimators for array time series
• Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
• scientific article; zbMATH DE number 5846682 (Why is no real title available?)
• Asymptotic least-squares estimation efficiency considerations and applications
• Asymptotic optimality of estimating function estimator for CHARN model
• Estimating function approach for CHARN models
• scientific article; zbMATH DE number 906967 (Why is no real title available?)
• Asymptotic inference for periodic ARCH processes
• Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
• scientific article; zbMATH DE number 5239095 (Why is no real title available?)
• Reconsidering the gains in efficiency from ML estimation versus OLS in ARCH models

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