EMPIRICAL LIKELIHOOD FOR GARCH MODELS

DOI10.1017/S0266466606060208zbMath1125.62097OpenAlexW2014372855MaRDI QIDQ3409060

Shiqing Ling, Ngai Hang Chan

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

Mathematics Subject Classification ID

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

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Cites Work

• Empirical likelihood methods with weakly dependent processes
• 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
• THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION
• Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions
• Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
• Empirical Likelihood-Based Inference in Conditional Moment Restriction Models

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