BIVARIATE ARCH MODELS: FINITE-SAMPLE PROPERTIES OF QML ESTIMATORS AND AN APPLICATION TO AN LM-TYPE TEST

DOI10.1017/S026646660505053XzbMATH Open1083.62087MaRDI QIDQ3377443FDOQ3377443

Authors: Emma M. Iglesias, G. D. A. Phillips 

Publication date: 22 March 2006

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

Recommendations

• Finite sample theory of QMLE in ARCH models with dynamics in the mean equation
• Finite sample theory of QMLEs in ARCH models with an exogenous variable in the conditional variance equation
• Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
• Higher-order asymptotic properties of QML in \(\beta \)-ARCH and \(\mu \)-ARCH models
• scientific article; zbMATH DE number 2013235

zbMATH Keywords

dependent disturbancescorrelated disturbances

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Cites Work

• Asymptotic theory for multivariate GARCH processes.
• Invariance, Nonlinear Models, and Asymptotic Tests
• On a multivariate conditional heteroscedastic model
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
• Estimation in a simple random effects model with nonnormal distributions
• Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland

Cited In (9)

• Small sample estimation bias in GARCH models with any number of exogenous variables in the mean equation
• Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
• Size distortion in the analysis of volatility and covolatility effects
• Finite sample theory of QMLE in ARCH models with dynamics in the mean equation
• Finite sample theory of QMLEs in ARCH models with an exogenous variable in the conditional variance equation
• Higher-order asymptotic properties of QML in \(\beta \)-ARCH and \(\mu \)-ARCH models
• On sample skewness and kurtosis
• Title not available (Why is that?)
• Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE

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