scientific article; zbMATH DE number 2148871

zbMATH Open1059.62014MaRDI QIDQ4660424FDOQ4660424

Authors: Sangyeol Lee, Masanobu Taniguchi 

Publication date: 21 March 2005

Title of this publication is not available (Why is that?)

Recommendations

• \(L_{p}\)-estimators in ARCH models
• Asymptotically Optimal Smoothing with Arch Models
• On Asymptotic Theory for ARCH (∞) Models
• Estimation and asymptotic inference in the AR-ARCH model
• scientific article; zbMATH DE number 5846682
• scientific article; zbMATH DE number 1223290
• Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
• ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
• Asymptotic filtering theory for multivariate ARCH models

zbMATH Keywords

Gaussian processweak convergenceGARCH modelstochastic regressionARCH modelasymptotically efficient estimatorLANresidual empirical processasymptotically optimal testARCH\((\infty)\)-SM model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cited In (19)

• Bootstrap entropy test for general location-scale time series models with heteroscedasticity
• Copula parameter change test for nonlinear AR models with nonlinear GARCH errors
• The Bickel--Rosenblatt test for diffusion processes
• Asymptotics of rank order statistics for ARCH residual empirical processes.
• Extended Glivenko–Cantelli theorem and L₁ strong consistency of innovation density estimator for time-varying semiparametric ARCH model
• Local asymptotically optimal test in ARCH model
• Entropy test and residual empirical process for autoregressive conditional duration models
• LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS
• On residual empirical processes of GARCH-SM models: application to conditional symmetry tests
• Change point detection in copula ARMA-GARCH models
• A divergence test for autoregressive time series models
• Residual empirical processes for long and short memory time series
• Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE
• Testing the existence of moments for GARCH processes
• Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
• Estimating the innovation distribution in nonparametric autoregression
• Asymptotic efficiency of conditional least squares estimators for ARCH models
• Statistical estimation errors of VaR under ARCH returns
• Inference in nonstationary asymmetric GARCH models

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4660424)