ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS

DOI10.1017/S0266466614000139zbMath1314.62211MaRDI QIDQ2936833

Lionel Truquet

Publication date: 7 January 2015

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

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

Related Items

A generalized nonlinear model for long memory conditional heteroscedasticity ⋮ QMLE for Quadratic ARCH Model with Long Memory ⋮ A nonlinear model for long-memory conditional heteroscedasticity ⋮ A new estimator for LARCH processes

Cites Work

• Unnamed Item
• A smoothed least squares estimator for threshold regression models
• A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
• On approximate pseudo-maximum likelihood estimation for LARCH-processes
• Inconsistency of the MLE and inference based on weighted LS for LARCH models
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• GARCH processes: structure and estimation
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Generalized autoregressive conditional heteroscedasticity
• A model for long memory conditional heteroscedasticity.
• Dependence in probability and statistics.
• On the measurability and consistency of minimum contrast estimates
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Smoothed Maximum Score Estimator for the Binary Response Model
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Quadratic ARCH Models

This page was built for publication: ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS