Minimum alpha-divergence estimation for arch models

DOI10.1111/J.1467-9892.2005.00444.XMaRDI QIDQ3440738zbMATH OpenOpenAlexFDO

Authors S. Ajay Chandra, Masanobu Taniguchi

Publication date 29 May 2007

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2005.00444.x

zbMATH Keywords

\(\alpha\)-divergenceARCH modelsasymptotic efficiencyconditional least squares estimatorkernel density estimatorresidual empirical processrobustness

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Minimum distance estimates in the ARCH model
• Minimum density power divergence estimator for GARCH models
• A doubly robustified estimating function for ARCH time series models
• On the estimation of -ARCH models
• scientific article; zbMATH DE number 1223290

Cites work

• Differential-geometrical methods in statistics
• Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
• Efficient estimation in semiparametric GARCH models
• Empirical process of the squared residuals of an ARCH sequence
• Estimating functions for nonlinear time series models
• Estimation in nonlinear time series models
• scientific article; zbMATH DE number 3502497 (Why is no real title available?)
• scientific article; zbMATH DE number 1820665 (Why is no real title available?)
• scientific article; zbMATH DE number 3394474 (Why is no real title available?)
• On the estimation of -ARCH models
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

Cited in

(6)

• Asymptotics of rank order statistics for ARCH residual empirical processes.
• Robust estimation of conditional variance of time series using density power divergences
• Estimation and testing for a Poisson autoregressive model
• Modelling time-varying higher moments with maximum entropy density
• Minimum distance estimates in the ARCH model
• Divergences test statistics for discretely observed diffusion processes

This page was built for publication: Minimum alpha-divergence estimation for arch models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3440738)