Normal mixture quasi-maximum likelihood estimator for GARCH models

MaRDI QIDQ3552956zbMATH OpenFDO

Authors Taewook Lee, Sangyeol Lee

Publication date 22 April 2010

zbMATH Keywords

asymptotic normalityconsistencyEM-algorithmgeneralized autoregressive conditional heteroscedastic time series

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(18)

• Bootstrap entropy test for general location-scale time series models with heteroscedasticity
• NM-QELE for ARMA-GARCH models with non-Gaussian innovations
• A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models
• On entropy-based goodness-of-fit test for asymmetric Student-\(t\) and exponential power distributions
• Normal-\(\text{GIG}\left(\frac{3}{2},\delta,\gamma \right)\) mixture with application to financial data
• A note on the Jarque-Bera normality test for GARCH innovations
• Statistical inference for mixture GARCH models with financial application
• Trimmed portmanteau test for linear processes with infinite variance
• Skew-Normal Mixture and Markov-Switching GARCH Processes
• Standard Laplace quasi-maximum likelihood estimator for GARCH processes
• Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models
• Quantile regression estimator for GARCH models
• Inference for Box-Cox transformed threshold GARCH models with nuisance parameters
• scientific article; zbMATH DE number 6951458 (Why is no real title available?)
• Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations
• Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models
• Chasing volatility. A persistent multiplicative error model with jumps
• Normality test for multivariate conditional heteroskedastic dynamic regression models

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