Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models

DOI10.1016/J.JECONOM.2006.07.016zbMATH Open1247.91142OpenAlexW2035370104MaRDI QIDQ451281FDOQ451281

Authors: Shiqing Ling 

Publication date: 23 September 2012

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.07.016

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zbMATH Keywords

asymptotic normalityquasi-maximum likelihood estimationGARCH modelARMA-GARCH modelself-weighted estimation

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

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• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Stationarity of GARCH processes and of some nonnegative time series
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• M-estimation for autoregression with infinite variance
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• Fitting an error distribution in some heteroscedastic time series models
• Conditional Heteroscedastic Time Series Models
• Estimation and Testing Stationarity for Double-Autoregressive Models
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• \(L_{p}\)-estimators in ARCH models
• Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors

Cited In (70)

• QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
• Parameter estimation in nonlinear AR-GARCH models
• The global weighted lad estimators for finite/infinite variance ARMA\((p,q)\) models
• Non-standard inference for augmented double autoregressive models with null volatility coefficients
• ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES
• Estimation and asymptotic inference in the AR-ARCH model
• On the tail index inference for heavy-tailed GARCH-type innovations
• NM-QELE for ARMA-GARCH models with non-Gaussian innovations
• Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
• Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall
• Generalized autoregressive moving average models with GARCH errors
• Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
• Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management
• Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models
• Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
• Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure
• A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
• Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes
• Robust nonlinear regression estimation in null recurrent time series
• Self-weighted quantile estimation of autoregressive conditional duration model
• Bootstrap inference for GARCH models by the least absolute deviation estimation
• Bootstrap based probability forecasting in multiplicative error models
• Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance
• Robust estimation and inference for heavy tailed GARCH
• Asymptotic inference for AR models with heavy-tailed G-GARCH noises
• Test for parameter change in ARMA models with GARCH innovations
• Normalized least-squares estimation in time-varying ARCH models
• Adaptive quasi-maximum likelihood estimation of GARCH models with Student's \(t\) likelihood
• Bootstrap specification tests for dynamic conditional distribution models
• Self-weighted recursive estimation of GARCH models
• Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
• Empirical likelihood for AR-ARCH models based on LAD estimation
• Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes
• Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
• Estimation for periodic ARMA models with unspecified noises
• Inconsistency of the MLE and inference based on weighted LS for LARCH models
• Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach
• Moment condition tests for heavy tailed time series
• Quantile regression for location-scale time series models with conditional heteroscedasticity
• Inference for conditional value-at-risk of a predictive regression
• Smoothed empirical likelihood for GARCH models with heavy-tailed errors
• Delay times of sequential procedures for multiple time series regression models
• Weighted least absolute deviations estimation for periodic ARMA models
• Toward a unified interval estimation of autoregressions
• Estimation of change-points in linear and nonlinear time series models
• Quasi-maximum likelihood estimator of Laplace \((1,1)\) for GARCH models
• Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases
• Asymptotics of self-weighted M-estimators for autoregressive models
• A bootstrapped spectral test for adequacy in weak ARMA models
• Interval estimation of the tail index of a GARCH(1,1) model
• QML inference for volatility models with covariates
• Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
• Least tail-trimmed squares for infinite variance autoregressions
• Asymptotic inference of unstable periodic ARCH processes
• Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
• A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models
• A new estimator for LARCH processes
• Testing serial correlation in a general d -factor model with possible infinite variance
• Test for Market Timing Using Daily Fund Returns
• Nonparametric tests for market timing ability using daily mutual fund returns
• Test for zero median of errors in an ARMA-GARCH model
• Asymptotic inference of the ARMA model with time-functional variance noises
• Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference
• Asymptotics of the adaptive elastic net estimation for conditional heteroscedastic time series models
• Risk Analysis via Generalized Pareto Distributions
• Statistical Inference for a Relative Risk Measure
• Efficient and consistent model selection procedures for time series
• Empirical likelihood test for the application of SWQMELE in fitting an ARMA-GARCH model
• Testing for zero skill in stock picking or market timing
• Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models

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