Asymptotics for parametric GARCH-in-mean models

DOI10.1016/J.JECONOM.2016.05.010MaRDI QIDQ308384zbMATHOpenAlexFDO

Authors Christian Conrad, Enno Mammen

Publication date 6 September 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://archiv.ub.uni-heidelberg.de/volltextserver/18010/1/Conrad_Mammen_2015_dp579.pdf

zbMATH Keywords

GARCH-in-meanrisk-return relationshipstochastic recurrence equations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 5654889 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• An Intertemporal Capital Asset Pricing Model
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• Estimation in conditionally heteroscedatic time series models.
• GARCH processes: structure and estimation
• Generalized autoregressive conditional heteroscedasticity
• Implicit renewal theory and tails of solutions of random equations
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Kalman Filtering with Random Coefficients and Contractions
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• On the Transmission of Memory in Garch‐in‐Mean Models
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Semiparametric inference in a GARCH-in-mean model

Cited in

(13)

• The asymptotic convexity of the negative likelihood function of GARCH models
• Asymptotic properties of the QMLE in a log-linear RealGARCH model with Gaussian errors
• Exponential-Type GARCH Models With Linear-in-Variance Risk Premium
• On convergence of the QMLE for misspecified GARCH models
• ARCH/GARCH with persistent covariate: asymptotic theory of MLE
• QML inference for volatility models with covariates
• FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS
• Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model
• ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
• Bootstrap specification tests for dynamic conditional distribution models
• An alternative GARCH-in-mean model: structure and estimation
• The time-varying GARCH-in-mean model
• Asymptotic theory for QMLE for the real-time GARCH\((1,1)\) model

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