The ARCH(2) model: pseudo-maximum estimation and asymptotic results under dependent innovations

DOI10.1080/03610926.2017.1337142MaRDI QIDQ4563528zbMATH OpenOpenAlexFDO

Authors Eugene Kouassi, Patrice Takam Soh, Morvan Nongni Donfack, Jean Marcelin B. Bosson

Publication date 1 June 2018

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2017.1337142

zbMATH Keywords

ARCH(2) modelasymptotic normalityconsistencydependent innovationspseudo-maximum likelihood estimationquadratic exponential families

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Asymptotic efficiency of the pseudo-maximum likelihood estimator in multi-group factor models with pooled data
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• GARCH processes: structure and estimation
• scientific article; zbMATH DE number 46732 (Why is no real title available?)
• scientific article; zbMATH DE number 3502497 (Why is no real title available?)
• scientific article; zbMATH DE number 1735137 (Why is no real title available?)
• scientific article; zbMATH DE number 3313523 (Why is no real title available?)
• On unification of the asymptotic theory of nonlinear econometric models
• Pseudo maximum likelihood estimation of structural models involving fixed-point problems
• Pseudo Maximum Likelihood Methods: Applications to Poisson Models
• Pseudo Maximum Likelihood Methods: Theory
• Quasi- and pseudo-maximum likelihood estimators for discretely observed continuous-time Markov branching processes

Cited in

(6)

• Asymptotic efficiency of conditional least squares estimators for ARCH models
• Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
• ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS
• Pseudo maximum likelihood estimation of the univariate GARCH(2,2) and asymptotic normality under dependent innovations
• Pseudo‐likelihood estimation in ARCH models
• On approximate pseudo-maximum likelihood estimation for LARCH-processes

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