Nuisance parameters, composite likelihoods and a panel of GARCH models

zbMATH Open1206.62154MaRDI QIDQ3074773FDOQ3074773

Authors Cavit Pakel, Kevin Sheppard, Neil Shephard 

Publication date 10 February 2011

Full work available at URL http://www3.stat.sinica.edu.tw/statistica/J21N1/J21N113/J21N113.html

zbMATH Keywords

panel dataARCH models

Mathematics Subject Classification ID

Point estimation (62F10) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(9)

• Semiparametric efficient adaptive estimation of the GJR-GARCH model
• Estimation in the presence of many nuisance parameters: composite likelihood and plug-in likelihood
• Variance clustering improved dynamic conditional correlation MGARCH estimators
• Simultaneous parameter estimation and state smoothing of complex GARCH process in the presence of additive noise
• Inference from pseudolikelihoods with plug-in estimates
• Multivariate rotated ARCH models
• Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
• Modeling panels of extremes
• Bootstrap inference for linear dynamic panel data models with individual fixed effects

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