Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models
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Publication:477106
DOI10.1007/S11425-014-4815-1zbMATH Open1381.62253OpenAlexW2093699835MaRDI QIDQ477106FDOQ477106
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
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Maximum Likelihood Estimation of Misspecified Models
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- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- GARCH processes: structure and estimation
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Minimum Hellinger distance estimates for parametric models
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- Estimation and tests for power-transformed and threshold GARCH models
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Martingale Central Limit Theorems
- A new neuro-fuzzy identification model of nonlinear dynamic systems
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- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
- Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
- Inference in nonstationary asymmetric GARCH models
- On a Mixture GARCH Time-Series Model
- Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations
- Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
- Kurtosis of GARCH and stochastic volatility models with non-normal innovations
- Statistical inference for non-stationary GARCH(\(p\),\(q\)) models
- Normal mixture quasi-maximum likelihood estimator for GARCH models
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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