Asymptotic theory for fractionally integrated asymmetric power ARCH models

DOI10.1016/J.JSPI.2012.04.004MaRDI QIDQ452996zbMATHOpenAlexFDO

Authors Kazuhiko Shinki, Zhengjun Zhang

Publication date 18 September 2012

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2012.04.004

zbMATH Keywords

time seriesGARCHlong memoryquasi-maximum likelihood

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
• On Asymptotic Theory for ARCH (∞) Models
• QML estimation of a class of multivariate asymmetric GARCH models
• Estimation and asymptotic inference in the AR-ARCH model

Cites work

• Estimating Long Memory in Volatility
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• GARCH processes: structure and estimation
• Modeling and pricing long memory in stock market volatility
• On the existence of some ARCH\((\infty)\)processes
• Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
• The efficiency of the estimators of the parameters in GARCH processes.

Cited in

(3)

• Optimal alarm systems for FIAPARCH processes
• Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes
• On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing

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