Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model

DOI10.1080/03610926.2013.851225zbMATH Open1343.62070OpenAlexW2075721156MaRDI QIDQ2807747FDOQ2807747

Baoguo Pan, Min Chen

Publication date: 25 May 2016

Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.851225

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zbMATH Keywords

asymptotic normalityGARCH modelsquasi-maximum exponential likelihood estimatornon stationarity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• 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
• Stationarity of GARCH processes and of some nonnegative time series
• Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
• Least absolute deviations estimation for ARCH and GARCH models
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Martingale Central Limit Theorems
• Estimation in nonstationary random coefficient autoregressive models
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• M-estimation for autoregression with infinite variance
• ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
• Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
• Asymptotic inference for a nonstationary double AR(1) model
• Asymptotic inference of unstable periodic ARCH processes
• Offline and online weighted least squares estimation of nonstationary power ARCH processes
• Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models

Cited In (8)

• QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
• Investigating GQL-based inferential approaches for non-stationary BINAR(1) model under different quantum of over-dispersion with application
• Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model
• Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
• ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
• Title not available (Why is that?)
• Standard Laplace quasi-maximum likelihood estimator for GARCH processes
• Statistical inference for non-stationary GARCH(\(p\),\(q\)) models

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