Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models

DOI10.1007/S11425-014-4815-1MaRDI QIDQ477106zbMATH OpenOpenAlexFDO

Authors Jiazhu Pan, Hui Wang

Publication date 2 December 2014

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-014-4815-1

zbMATH Keywords

asymptotic normalityconsistencyefficiencynon-stationary TGARCHnormal mixture QMLE

Mathematics Subject Classification ID

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

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Cites work

• A new neuro-fuzzy identification model of nonlinear dynamic systems
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• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
• Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
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• Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations
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• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Minimum Hellinger distance estimates for parametric models
• Normal mixture quasi-maximum likelihood estimator for GARCH models
• On a Mixture GARCH Time-Series Model
• Statistical inference for non-stationary GARCH(\(p\),\(q\)) models
• Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
• The efficiency of the estimators of the parameters in GARCH processes.

Cited in

(5)

• Power-expected-posterior priors for generalized linear models
• Inference for Box-Cox transformed threshold GARCH models with nuisance parameters
• Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations
• Quasi-maximum exponential likelihood estimation for double-threshold GARCH models
• Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models

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