ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
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Publication:3375346
DOI10.1017/S0266466605050474zbMATH Open1081.62065OpenAlexW2146774659MaRDI QIDQ3375346FDOQ3375346
Authors: Dennis Kristensen, Anders Rahbek 
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
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Cited In (35)
- Parameter estimation in nonlinear AR-GARCH models
- A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application
- Estimation and asymptotic inference in the AR-ARCH model
- Threshold negative binomial autoregressive model
- ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
- On the consistency of bootstrap testing for a parameter on the boundary of the parameter space
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- Robust inference in conditionally heteroskedastic autoregressions
- Title not available (Why is that?)
- Self-excited hysteretic negative binomial autoregression
- Asymptotic theory for fractionally integrated asymmetric power ARCH models
- Estimation of dynamic models with nonparametric simulated maximum likelihood
- Likelihood-based inference for cointegration with nonlinear error-correction
- On asymptotic theory for multivariate GARCH models
- Cointegration rank testing under conditional heteroskedasticity
- Higher-order asymptotic properties of QML in \(\beta \)-ARCH and \(\mu \)-ARCH models
- Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
- Inference for Box-Cox transformed threshold GARCH models with nuisance parameters
- Nonstationary GARCH with \(t\)-distributed innovations
- Mean targeting estimator for the integer-valued GARCH(1, 1) model
- Asymptotic normality of the MLE in the level-effect ARCH model
- Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
- On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models
- An ARCH model without intercept
- R-estimation in semiparametric dynamic location-scale models
- Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
- QMLE for quadratic ARCH model with long memory
- On Asymptotic Theory for ARCH (∞) Models
- Title not available (Why is that?)
- Title not available (Why is that?)
- QML inference for volatility models with covariates
- Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
- Limit Theory for the QMLE of the GQARCH (1,1) Model
- TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
- A light-tailed conditionally heteroscedastic model with applications to river flows
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