Parameter Estimation in Conditional Heteroscedastic Models

DOI10.1081/STA-120021324zbMath1104.62306MaRDI QIDQ4707029

Samarjit Das, Snigdhansu Chatterjee

Publication date: 4 June 2003

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

Full work available at URL: https://doi.org/10.1081/sta-120021324

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62E20: Asymptotic distribution theory in statistics

Related Items

QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations, Nonlinear recursive estimation of volatility via estimating functions, Testing for local covariate trend effects in volatility models, Estimation in a class of nonlinear heteroscedastic time series models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• ARCH modeling in finance. A review of the theory and empirical evidence
• A nonlinear time series model and estimation of missing observations
• Bootstrap methods: another look at the jackknife
• Prediction via estimating functions
• Some statistical results on autoregressive conditionally heteroscedastic models
• ARCH models and financial applications
• Conditional Heteroscedastic Time Series Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Class of Nonlinear Arch Models
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models