Targeting estimation of CCC-GARCH models with infinite fourth moments
DOI10.1017/S0266466615000316zbMATH Open1441.62834OpenAlexW3125160501MaRDI QIDQ2801995FDOQ2801995
Authors: Rasmus Søndergaard Pedersen 
Publication date: 22 April 2016
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466615000316
Recommendations
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- Robust parametric tests of constant conditional correlation in a MGARCH model
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stationary stochastic processes (60G10)
Cites Work
- Random difference equations and renewal theory for products of random matrices
- Stationarity and geometric ergodicity of BEKK multivariate GARCH models
- Strict stationarity of generalized autoregressive processes
- Inequalities for the $r$th Absolute Moment of a Sum of Random Variables, $1 \leqq r \leqq 2$
- Regularly varying multivariate time series
- Regular variation of GARCH processes.
- The sample autocorrelations of heavy-tailed processes with applications to ARCH
- The efficiency of the estimators of the parameters in GARCH processes.
- Point process and partial sum convergence for weakly dependent random variables with infinite variance
- Point processes, regular variation and weak convergence
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
- QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
- Support theorems for the Radon transform and Cramér-Wold theorems
- On asymptotic theory for multivariate GARCH models
- A characterization of multivariate regular variation.
- Stable limits for sums of dependent infinite variance random variables
- QML estimation of a class of multivariate asymmetric GARCH models
- Non-linear time series and Markov chains
- Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations
- Non-central limit theorems for random selections
- The rate of consistency of the quasi-maximum likelihood estimator.
Cited In (7)
- On the tail behavior of a class of multivariate conditionally heteroskedastic processes
- Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach
- Inference and testing on the boundary in extended constant conditional correlation GARCH models
- Nonstationary linear processes with infinite variance GARCH errors
- Mean targeting estimator for the integer-valued GARCH(1, 1) model
- Multivariate variance targeting in the BEKK-GARCH model
- Tests for conditional ellipticity in multivariate GARCH models
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