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

DOI10.1017/S026646660505053XMaRDI QIDQ3377443zbMATH OpenFDO

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

Publication date 22 March 2006

Published in Econometric Theory (Search for Journal in Brave)

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)

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

Cites work

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

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
• scientific article; zbMATH DE number 2013235 (Why is no real title available?)
• Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE

This page was built for publication: BIVARIATE ARCH MODELS: FINITE-SAMPLE PROPERTIES OF QML ESTIMATORS AND AN APPLICATION TO AN LM-TYPE TEST

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3377443)