Normal mixture quasi-maximum likelihood estimator for GARCH models
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Publication:3552956
zbMATH Open1198.62101MaRDI QIDQ3552956FDOQ3552956
Authors: Taewook Lee, Sangyeol Lee 
Publication date: 22 April 2010
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asymptotic normalityconsistencyEM-algorithmgeneralized autoregressive conditional heteroscedastic time series
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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
- Title not available (Why is that?)
- 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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