Estimation and tests for power-transformed and threshold GARCH models
From MaRDI portal
Publication:290965
DOI10.1016/j.jeconom.2007.06.004zbMath1418.62345WikidataQ91904649 ScholiaQ91904649MaRDI QIDQ290965
Hui Wang, Jiazhu Pan, Howell Tong
Publication date: 3 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://europepmc.org/articles/pmc7116990
asymptotic normality; Wald test; quasi-maximum likelihood estimator; least absolute deviations estimation; order selection; power transformation; PTTGARCH structure; threshold GARCH
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91B84: Economic time series analysis
Related Items
QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES, Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series, Power periodic threshold GARCH model: Structure and estimation, Asymmetric linear double autoregression, Non-ergodic martingale estimating functions and related asymptotics, ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS, A Bayesian Analysis of Autoregressive Models with Exogenous Variables and Power-Transformed and Threshold GARCH Errors, A new generalized exponentially weighted moving average quantile model and its statistical inference, Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series, On the tail index inference for heavy-tailed GARCH-type innovations, Inference in nonstationary asymmetric GARCH models, Asymmetric GARCH processes featuring both threshold effect and bilinear structure, On the probabilistic structure of power threshold generalized ARCH stochastic processes, Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models, Offline and online weighted least squares estimation of nonstationary power ARCH processes, Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes, A note on portmanteau tests for conditional heteroscedastistic models, Persistent-threshold-GARCH processes: model and application, Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations, Semiparametric efficient adaptive estimation of the GJR-GARCH model, Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients, Estimation of multivariate asymmetric power GARCH models, Hybrid quantile estimation for asymmetric power GARCH models, A dynamic Markov regime-switching asymmetric GARCH model and its cumulative impulse response function, Daily nonparametric ARCH(1) model estimation using intraday high frequency data, Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model, Test for tail index constancy of GARCH innovations based on conditional volatility, Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes, Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models, Bayesian analysis of periodic asymmetric power GARCH models, Outliers and misleading leverage effect in asymmetric GARCH-type models, On the Distribution Estimation of Power Threshold Garch Processes, Quantile Regression for Location‐Scale Time Series Models with Conditional Heteroscedasticity, Smoothed empirical likelihood for GARCH models with heavy-tailed errors, Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameters, PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS, QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS, Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Stationarity of GARCH processes and of some nonnegative time series
- ARCH models and financial applications
- Least absolute deviation estimation for regression with ARMA errors
- GARCH processes: structure and estimation
- Regular variation of GARCH processes.
- Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
- Generalized autoregressive conditional heteroscedasticity
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
- On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process
- Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
- Least absolute deviations estimation for ARCH and GARCH models
- WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE
- Modelling the persistence of conditional variances
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A Class of Nonlinear Arch Models
- Realistic Statistical Modelling of Financial Data
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Inference in Arch and Garch Models with Heavy-Tailed Errors