ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
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Publication:3375346
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Cites work
- L₁ geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- Asymptotic theory for multivariate GARCH processes.
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Diagnostic testing and evaluation of maximum likelihood models
- Estimation When a Parameter is on a Boundary
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- Martingale Central Limit Theorems
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Mixing Conditions for Markov Chains
- Modelling the persistence of conditional variances
- On the measurability and consistency of minimum contrast estimates
- Qualitative threshold ARCH models
- Regular variation of GARCH processes.
- The geometric ergodicity and existence of moments for a class of nonlinear time series model
Cited in
(36)- Nonstationary GARCH with \(t\)-distributed innovations
- Higher-order asymptotic properties of QML in -ARCH and -ARCH models
- Asymptotic normality of the MLE in the level-effect ARCH model
- Self-excited hysteretic negative binomial autoregression
- Mean targeting estimator for the integer-valued GARCH(1, 1) model
- Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
- Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
- On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models
- Inference for Box-Cox transformed threshold GARCH models with nuisance parameters
- Cointegration rank testing under conditional heteroskedasticity
- scientific article; zbMATH DE number 5846682 (Why is no real title available?)
- Estimation and asymptotic inference in the AR-ARCH model
- Parameter estimation in nonlinear AR-GARCH models
- TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
- Limit Theory for the QMLE of the GQARCH (1,1) Model
- A light-tailed conditionally heteroscedastic model with applications to river flows
- ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
- Asymptotic theory for fractionally integrated asymmetric power ARCH models
- On Asymptotic Theory for ARCH (∞) Models
- Threshold negative binomial autoregressive model
- QML inference for volatility models with covariates
- scientific article; zbMATH DE number 2148871 (Why is no real title available?)
- An ARCH model without intercept
- R-estimation in semiparametric dynamic location-scale models
- On the consistency of bootstrap testing for a parameter on the boundary of the parameter space
- QMLE for quadratic ARCH model with long memory
- Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
- scientific article; zbMATH DE number 5239095 (Why is no real title available?)
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- Robust inference in conditionally heteroskedastic autoregressions
- A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application
- Adaptive Group LASSO for the GARCH-MIDAS Model
- Likelihood-based inference for cointegration with nonlinear error-correction
- Estimation of dynamic models with nonparametric simulated maximum likelihood
- Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
- On asymptotic theory for multivariate GARCH models
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