QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS

DOI10.1017/S0266466609090689zbMath1279.62182OpenAlexW3125232207MaRDI QIDQ3632433

Juan Carlos Escanciano

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466609090689

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) General nonlinear regression (62J02)

Related Items (21)

A general approach to conditional moment specification testing with projections ⋮ Joint and marginal specification tests for conditional mean and variance models ⋮ Asymptotics for semi-strong augmented GARCH(1,1) model ⋮ Risk forecasting in (T)GARCH models with uncorrelated dependent innovations ⋮ Pseudo maximum likelihood estimation and asymptotic results of the GARCH (1, 2) Model under dependent innovations ⋮ Empirical characteristic function tests for GARCH innovation distribution using multipliers ⋮ Exponential control of the trajectories of iterated function systems with application to semi-strong GARCH models ⋮ NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY ⋮ Optimal estimating function for weak location‐scale dynamic models ⋮ Extremal Dependence-Based Specification Testing of Time Series ⋮ A residual bootstrap for conditional value-at-risk ⋮ Pseudo maximum likelihood estimation of the univariate GARCH (2,2) and asymptotic normality under dependent innovations ⋮ Functional GARCH models: the quasi-likelihood approach and its applications ⋮ DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS ⋮ Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes ⋮ On the empirical characteristic function process of the residuals in GARCH models and applications ⋮ TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS ⋮ Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients ⋮ PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS ⋮ QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES ⋮ Generalized autoregressive moving average models with GARCH errors

Cites Work

• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
• GARCH processes: structure and estimation
• The rate of consistency of the quasi-maximum likelihood estimator.
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Whittle estimation in a heavy-tailed GARCH(1,1) model.
• Generalized autoregressive conditional heteroscedasticity
• The efficiency of the estimators of the parameters in GARCH processes.
• Estimation in conditionally heteroscedatic time series models.
• Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive Conditional Density Estimation
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

This page was built for publication: QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS