Time series models with asymmetric Laplace innovations

DOI10.1080/00949650903071088zbMath1205.62135MaRDI QIDQ3070611

Yun Zhu, Beth Andrews, A. Alexandre Trindade

Publication date: 3 February 2011

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650903071088

zbMATH Keywords

prediction; GARCH; joint distribution; ARMA; conditional maximum likelihood; financial returns

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F25: Parametric tolerance and confidence regions

62P05: Applications of statistics to actuarial sciences and financial mathematics

62E15: Exact distribution theory in statistics

Related Items

Semiparametric Time Series Models with Log‐concave Innovations: Maximum Likelihood Estimation and its Consistency, Marshall-Olkin Esscher transformed Laplace distribution and processes, Inference in two-piece location-scale models with Jeffreys priors

Cites Work

• Unnamed Item
• Random fluctuations of response rate
• Approximating the distributions of estimators of financial risk under an asymmetric Laplace law
• Time series: theory and methods.
• The theory of geometric stable distributions and its use in modeling financial data
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Generalized autoregressive conditional heteroscedasticity
• The efficiency of the estimators of the parameters in GARCH processes.
• An autoregressive process with geometric \(\alpha\)-Laplace marginals
• Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
• A time-series model using asymmetric Laplace distribution
• Least absolute deviations estimation for ARCH and GARCH models
• A new Laplace second-order autoregressive time-series model--NLAR(2)
• ARMA MODELLING WITH NON-GAUSSIAN INNOVATIONS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES
• Distribution of linear combination of exponential variates
• Linnik distributions and processes
• Some Theorems on Quadratic Forms Applied in the Study of Analysis of Variance Problems, I. Effect of Inequality of Variance in the One-Way Classification