Finite Sample Theory of QMLE in ARCH Models with Dynamics in the Mean Equation

DOI10.1111/j.1467-9892.2008.00582.xzbMath1199.62009OpenAlexW2032746110MaRDI QIDQ3552847

Garry D. A. Phillips, Emma M. Iglesias

Publication date: 22 April 2010

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2008.00582.x

zbMATH Keywords

quasi-maximum likelihoodbias correctionAR-ARCH models

Mathematics Subject Classification ID

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

Related Items

On Sample Skewness and Kurtosis ⋮ Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models ⋮ Time-varying asymmetry and tail thickness in long series of daily financial returns ⋮ Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models

Cites Work

• Unnamed Item
• The second-order bias and mean squared error of estimators in time-series models
• A new neuro-fuzzy identification model of nonlinear dynamic systems
• Generalized autoregressive conditional heteroscedasticity
• Asymptotic theory for multivariate GARCH processes.
• Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• ARMA MODELS WITH ARCH ERRORS
• The Bias of Autoregressive Coefficient Estimators
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
• Estimation in a simple random effects model with nonnormal distributions
• Estimation and Testing Stationarity for Double-Autoregressive Models
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Asymptotic expansions for the mean and variance of the serial correlation coefficient

This page was built for publication: Finite Sample Theory of QMLE in ARCH Models with Dynamics in the Mean Equation