ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
From MaRDI portal
Publication:3375346
DOI10.1017/S0266466605050474zbMath1081.62065OpenAlexW2146774659MaRDI QIDQ3375346
Anders Rahbek, Dennis Kristensen
Publication date: 8 March 2006
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466605050474
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (24)
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space ⋮ On asymptotic theory for multivariate GARCH models ⋮ Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameters ⋮ Nonstationary GARCH with \(t\)-distributed innovations ⋮ Higher-order asymptotic properties of QML in \(\beta \)-ARCH and \(\mu \)-ARCH models ⋮ A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application ⋮ Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE ⋮ Threshold negative binomial autoregressive model ⋮ Self-excited hysteretic negative binomial autoregression ⋮ COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY ⋮ An ARCH model without intercept ⋮ R-estimation in semiparametric dynamic location-scale models ⋮ Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models ⋮ A light-tailed conditionally heteroscedastic model with applications to river flows ⋮ Likelihood-based inference for cointegration with nonlinear error-correction ⋮ Estimation of dynamic models with nonparametric simulated maximum likelihood ⋮ ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL ⋮ Estimation and Asymptotic Inference in the AR-ARCH Model ⋮ Mean targeting estimator for the integer-valued GARCH(1, 1) model ⋮ Asymptotic normality of the MLE in the level-effect ARCH model ⋮ PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS ⋮ TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS ⋮ QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES ⋮ Robust inference in conditionally heteroskedastic autoregressions
Cites Work
- Diagnostic testing and evaluation of maximum likelihood models
- Qualitative threshold ARCH models
- The geometric ergodicity and existence of moments for a class of nonlinear time series model
- Regular variation of GARCH processes.
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- Asymptotic theory for multivariate GARCH processes.
- On the measurability and consistency of minimum contrast estimates
- Modelling the persistence of conditional variances
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Mixing Conditions for Markov Chains
- Estimation When a Parameter is on a Boundary
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- Martingale Central Limit Theorems
- \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.
This page was built for publication: ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
