Estimation and asymptotic inference in the AR-ARCH model

DOI10.1080/07474938.2011.534031zbMATH Open1209.62201OpenAlexW2083816184WikidataQ61915676 ScholiaQ61915676MaRDI QIDQ3086362FDOQ3086362

Authors: Theis Lange, Anders Rahbek, Søren Tolver Jensen 

Publication date: 30 March 2011

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

Full work available at URL: https://doi.org/10.1080/07474938.2011.534031

Recommendations

• ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• QMLE for quadratic ARCH model with long memory
• A note on the QMLE limit theory in the non-stationary ARCH(1) model

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Title not available (Why is that?)
• MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
• Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes
• GARCH processes: structure and estimation
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• The sample autocorrelations of heavy-tailed processes with applications to ARCH
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• Martingale Central Limit Theorems
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
• Estimation and Testing Stationarity for Double-Autoregressive Models
• Inference in TAR Models
• ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
• Stability and the Lyapounov exponent of threshold AR-ARCH models
• Non-linear time series and Markov chains
• Stability of nonlinear AR-GARCH models
• Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors
• ARMA MODELS WITH ARCH ERRORS
• ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
• On the law of large numbers for (geometrically) ergodic Markov chains
• Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models

Cited In (33)

• ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS
• On the consistency of bootstrap testing for a parameter on the boundary of the parameter space
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• M-estimation and linear hypothesis testing in the ARCH model
• Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
• AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD
• On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process
• Bootstrap inference for Hawkes and general point processes
• On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
• Title not available (Why is that?)
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• Title not available (Why is that?)
• Asymptotic inference for AR models with heavy-tailed G-GARCH noises
• Asymptotic theory for fractionally integrated asymmetric power ARCH models
• ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
• Normalized least-squares estimation in time-varying ARCH models
• Synthetic learner: model-free inference on treatments over time
• Finite sample theory of QMLE in ARCH models with dynamics in the mean equation
• Higher-order asymptotic properties of QML in \(\beta \)-ARCH and \(\mu \)-ARCH models
• Parametric estimation for ARFIMA models via spectral methods
• Estimation of dynamic and ARCH Tobit models
• Specification testing in nonparametric AR‐ARCH models
• Asymptotic normality of the MLE in the level-effect ARCH model
• A note on the QMLE limit theory in the non-stationary ARCH(1) model
• Asymptotic Filtering Theory for Univariate Arch Models
• QMLE for quadratic ARCH model with long memory
• On Asymptotic Theory for ARCH (∞) Models
• Asymptotic efficiency of conditional least squares estimators for ARCH models
• Title not available (Why is that?)
• Title not available (Why is that?)
• On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing
• Oracally efficient estimation and testing for an ARCH model with trend
• A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models

Uses Software

• Ox

This page was built for publication: Estimation and asymptotic inference in the AR-ARCH model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3086362)