ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS

DOI10.1111/1467-9892.00296MaRDI QIDQ3440776zbMATH OpenOpenAlexFDO

Authors Kanchan Mukherjee, Arup Bose

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/10.1111/1467-9892.00296

zbMATH Keywords

ARCH modelasymptoticquasi-maximum likelihood estimate

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Handbook of econometrics. Vol. 4
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• Stationarity of GARCH processes and of some nonnegative time series

Cited in

(34)

• Estimating multivariate ARCH parameters by two-stage least-squares method
• \(L_{p}\)-estimators in ARCH models
• ARCH model and fractional Brownian motion
• Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases
• On the estimation of -ARCH models
• A model for integer-valued time series with conditional overdispersion
• Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach
• Estimation and strict stationarity testing of ARCH processes based on weighted least squares
• Normalized least-squares estimation in time-varying ARCH models
• A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference
• Parameter estimation in the ARCH model with weighted liquidity
• Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions
• A Weighted Linear Estimator of Multivariate ARCH Parameters
• Bootstrapping a weighted linear estimator of the ARCH parameters
• Recursive Estimation of GARCH Models
• Adaption of two-stage estimation procedure for mean parameters of linear regression models with ARCH errors
• Estimation for nonlinear autoregressive models generated by beta-ARCH processes
• Asymptotic inference of unstable periodic ARCH processes
• scientific article; zbMATH DE number 2013235 (Why is no real title available?)
• Self-weighted recursive estimation of GARCH models
• Estimation and testing for the parameters of ARCH(q) under ordered restriction
• scientific article; zbMATH DE number 906967 (Why is no real title available?)
• Estimation algorithm for physical parameters in a shallow arch
• Two-step estimation for time varying ARCH models
• Concurrent processing of heteroskedastic vector-valued mixture density models
• An investigation of a generalized least squares estimator for non-linear time series model
• Nonparametric estimation of a time-varying GARCH model
• Least squares estimation of ARCH models with missing observations
• Effects of outliers on the identification and estimation of GARCH models
• Bayesian modelling of time-varying conditional heteroscedasticity
• Estimation and testing for a Poisson autoregressive model
• Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
• Two-stage RLS algorithm for estimating ARCH models
• Simultaneous parameter estimation and state smoothing of complex GARCH process in the presence of additive noise

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