Quasi-maximum exponential likelihood estimation for a GARCH-M type model

MaRDI QIDQ3179867zbMATH OpenFDO

Authors XingFa Zhang, Yuan Li

Publication date 6 January 2017

zbMATH Keywords

asymptotic normalityquasi-maximum likelihood estimationGARCH-M model

Mathematics Subject Classification ID

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

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Cited in

(11)

• QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
• Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
• M-ESTIMATION IN GARCH MODELS
• Quasi-maximum exponential likelihood estimation for non-stationary GARCH(1,1) models with high-frequency data
• GARCH Model Estimation Using Estimated Quadratic Variation
• Standard Laplace quasi-maximum likelihood estimator for GARCH processes
• M-estimate for the stationary hyperbolic GARCH models
• Quasi maximum exponential likelihood estimation of GARCH model based on high frequency data
• Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure
• Risk–return relationship in equity markets: using a robust GMM estimator for GARCH-M models
• An alternative GARCH-in-mean model: structure and estimation

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