Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
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Cites work
- Adaptive estimation in time-series models
- Asymptotic theory for a vector ARMA-GARCH model
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional Heteroscedastic Time Series Models
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Estimation and Testing Stationarity for Double-Autoregressive Models
- Fitting an error distribution in some heteroscedastic time series models
- GARCH processes: structure and estimation
- Generalized autoregressive conditional heteroscedasticity
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Least absolute deviations estimation for ARCH and GARCH models
- M-estimation for autoregression with infinite variance
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
- On adaptive estimation in nonstationary ARMA models with GARCH errors
- On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
- Parameter estimation for ARMA models with infinite variance innovations
- Regular variation of GARCH processes.
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Stationarity of GARCH processes and of some nonnegative time series
- The efficiency of the estimators of the parameters in GARCH processes.
- Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors
- \(L_{p}\)-estimators in ARCH models
Cited in
(70)- Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
- Parameter estimation in nonlinear AR-GARCH models
- QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
- A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive 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
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
- Generalized autoregressive moving average models with GARCH errors
- Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models
- Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management
- Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
- A new estimator for LARCH processes
- A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
- Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure
- Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes
- Robust nonlinear regression estimation in null recurrent time series
- Testing serial correlation in a general d -factor model with possible infinite variance
- Self-weighted quantile estimation of autoregressive conditional duration model
- Bootstrap inference for GARCH models by the least absolute deviation estimation
- Test for Market Timing Using Daily Fund Returns
- Nonparametric tests for market timing ability using daily mutual fund returns
- 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
- Test for zero median of errors in an ARMA-GARCH model
- Asymptotic inference of the ARMA model with time-functional variance noises
- Test for parameter change in ARMA models with GARCH innovations
- Asymptotic inference for AR models with heavy-tailed G-GARCH noises
- Normalized least-squares estimation in time-varying ARCH models
- Adaptive quasi-maximum likelihood estimation of GARCH models with Student's \(t\) likelihood
- Asymptotics of the adaptive elastic net estimation for conditional heteroscedastic time series models
- Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference
- Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
- Empirical likelihood for AR-ARCH models based on LAD estimation
- Bootstrap specification tests for dynamic conditional distribution models
- Self-weighted recursive estimation of GARCH models
- 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
- Risk Analysis via Generalized Pareto Distributions
- Inconsistency of the MLE and inference based on weighted LS for LARCH models
- Estimation for periodic ARMA models with unspecified noises
- Statistical Inference for a Relative Risk Measure
- Efficient and consistent model selection procedures for time series
- Moment condition tests for heavy tailed time series
- Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach
- Quantile regression for location-scale time series models with conditional heteroscedasticity
- Delay times of sequential procedures for multiple time series regression models
- Inference for conditional value-at-risk of a predictive regression
- Smoothed empirical likelihood for GARCH models with heavy-tailed errors
- Weighted least absolute deviations estimation for periodic ARMA models
- Empirical likelihood test for the application of SWQMELE in fitting an ARMA-GARCH model
- Toward a unified interval estimation of autoregressions
- Quasi-maximum likelihood estimator of Laplace \((1,1)\) for GARCH models
- Estimation of change-points in linear and nonlinear time series 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
- Testing for zero skill in stock picking or market timing
- Interval estimation of the tail index of a GARCH(1,1) model
- Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
- QML inference for volatility models with covariates
- Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
- Asymptotic inference of unstable periodic ARCH processes
- Least tail-trimmed squares for infinite variance autoregressions
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