Smoothed empirical likelihood for GARCH models with heavy-tailed errors
From MaRDI portal
Publication:2834728
DOI10.1080/03610926.2014.978947zbMath1349.62413OpenAlexW2520047195MaRDI QIDQ2834728
Xingtong Chen, Song Zhu, Jin-yu Li
Publication date: 23 November 2016
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2014.978947
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)
Related Items (1)
Cites Work
- Unnamed Item
- Estimation and tests for power-transformed and threshold GARCH models
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Empirical likelihood for AR-ARCH models based on LAD estimation
- Empirical likelihood ratio confidence regions
- Empirical likelihood for the smoothed LAD estimator in infinite variance autoregressive models
- Empirical likelihood and general estimating equations
- GARCH processes: structure and estimation
- Generalized autoregressive conditional heteroscedasticity
- Least absolute deviations estimation for ARCH and GARCH models
- EMPIRICAL LIKELIHOOD FOR GARCH MODELS
- Empirical likelihood ratio confidence intervals for a single functional
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Inference in Arch and Garch Models with Heavy-Tailed Errors
This page was built for publication: Smoothed empirical likelihood for GARCH models with heavy-tailed errors