Targeting estimation of CCC-GARCH models with infinite fourth moments

DOI10.1017/S0266466615000316MaRDI QIDQ2801995zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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)

Recommendations

• Stable Limit Theory for the Variance Targeting Estimator
• Multivariate variance targeting in the BEKK-GARCH model
• Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models
• On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models
• Robust parametric tests of constant conditional correlation in a MGARCH model

Cites work

• A characterization of multivariate regular variation.
• Inequalities for the $r$th Absolute Moment of a Sum of Random Variables, $1 \leqq r \leqq 2$
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Non-central limit theorems for random selections
• Non-linear time series and Markov chains
• On asymptotic theory for multivariate GARCH models
• Point process and partial sum convergence for weakly dependent random variables with infinite variance
• Point processes, regular variation and weak convergence
• QML estimation of a class of multivariate asymmetric GARCH models
• QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
• Random difference equations and renewal theory for products of random matrices
• Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations
• Regular variation of GARCH processes.
• Regularly varying multivariate time series
• Stable limits for sums of dependent infinite variance random variables
• Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
• Stationarity and geometric ergodicity of BEKK multivariate GARCH models
• Strict stationarity of generalized autoregressive processes
• Support theorems for the Radon transform and Cramér-Wold theorems
• The efficiency of the estimators of the parameters in GARCH processes.
• The rate of consistency of the quasi-maximum likelihood estimator.
• The sample autocorrelations of heavy-tailed processes with applications to ARCH

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

This page was built for publication: Targeting estimation of CCC-GARCH models with infinite fourth moments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2801995)