EMPIRICAL LIKELIHOOD FOR GARCH MODELS

DOI10.1017/S0266466606060208zbMATH Open1125.62097OpenAlexW2014372855MaRDI QIDQ3409060FDOQ3409060

Authors: Ngai Hang Chan, Shiqing Ling 

Publication date: 7 November 2006

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

Full work available at URL: https://doi.org/10.1017/s0266466606060208

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Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Empirical likelihood methods with weakly dependent processes
• THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION
• Distribution theory for unit root tests with conditional heteroskedasticity
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions
• Empirical Likelihood-Based Inference in Conditional Moment Restriction Models
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence

Cited In (50)

• Empirical likelihood for break detection in time series
• Penalized empirical likelihood inference for the GINAR(p) model
• Empirical likelihood for first-order mixed integer-valued autoregressive model
• Variational Bayes for Fast and Accurate Empirical Likelihood Inference
• Bayesian empirical likelihood inference and order shrinkage for autoregressive models
• Empirical likelihood inference in autoregressive models with time-varying variances
• Smoothed jackknife empirical likelihood method for ROC curve
• Empirical likelihood inference for functional coefficient ARCH-M model
• Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
• Weighted empirical likelihood inferences for a class of varying coefficient ARCH-M models
• Empirical likelihood based estimation for a class of functional coefficient ARCH-M models
• Empirical likelihood parametric estimations for GARCH-M models
• A review of empirical likelihood methods for time series
• On dynamics of volatilities in nonstationary GARCH models
• Interval estimation for a simple bilinear model
• Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions
• Empirical likelihood test for the application of swqmele in fitting an arma‐garch model
• Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
• Computational analysis of the behavior of stochastic volatility models with financial applications
• Coefficient constancy test in generalized random coefficient autoregressive model
• Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference
• Conditional heteroscedasticity test for Poisson autoregressive model
• The asymptotic convexity of the negative likelihood function of GARCH models
• Empirical likelihood for AR-ARCH models based on LAD estimation
• Title not available (Why is that?)
• Empirical likelihood for LAD estimators in infinite variance ARMA models
• GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
• Inference for short‐memory time series models based on modified empirical likelihood
• Empirical likelihood inference for first-order random coefficient integer-valued autoregressive processes
• Empirical likelihood inference for INAR(1) model with explanatory variables
• Empirical likelihood in long-memory time series models
• Adjusted empirical likelihood for time series models
• Jackknife-blockwise empirical likelihood methods under dependence
• Empirical likelihood for nonparametric regression models with spatial autoregressive errors
• Blockwise empirical likelihood for time series of counts
• Empirical likelihood for the smoothed LAD estimator in infinite variance autoregressive models
• A note on the asymptotic behaviour of empirical likelihood statistics
• Forecasting price of financial market crash via a new nonlinear potential GARCH model
• Smoothed empirical likelihood for GARCH models with heavy-tailed errors
• Empirical likelihood for linear and log-linear INGARCH models
• Bayesian empirical likelihood inference for the generalized binomial AR(1) model
• BL-GARCH models with elliptical distributed innovations
• Statistical inference for generalized random coefficient autoregressive model
• The first-order random coefficient integer valued autoregressive process with the occasional level shift random noise based on dual empirical likelihood
• Empirical likelihood confidence regions for autoregressive models with explanatory variables
• Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues
• Empirical likelihood for moving average models
• TEST FOR ZERO MEDIAN OF ERRORS IN AN ARMA–GARCH MODEL
• Threshold autoregression analysis for finite-range time series of counts with an application on measles data
• Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models

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