scientific article; zbMATH DE number 799018

MaRDI QIDQ4847446zbMATH OpenFDO

Authors Laure Elie, Thierry Jeantheau

Publication date 20 September 1995

zbMATH Keywords

strong consistencyminimum contrast estimators\(\text{AR} (s)\) model\(\text{GARCH} (p,q)\) errorconditionally heteroskedastic models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Strong limit theorems (60F15)

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• Parameter Estimation in Conditional Heteroscedastic Models
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• M-ESTIMATION IN GARCH MODELS
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Cited in

(17)

• Asymptotic theory for multivariate GARCH processes.
• SURE Estimates for a Heteroscedastic Hierarchical Model
• An econometric analysis of asymmetric volatility: theory and application to patents
• Modelling the asymmetric volatility of electronics patents in the USA.
• Generalized R-estimators under conditional heteroscedasticity
• Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
• On prediction intervals for conditionally heteroscedastic processes
• Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish
• Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
• Parameter Estimation in Conditional Heteroscedastic Models
• Estimation and Inference for Heteroscedastic Systems of Equations
• Conditional least squares estimation in nonstationary nonlinear stochastic regression models
• Estimation in conditionally heteroscedatic time series models.
• Neglected heterogeneity in moment condition models
• SURE estimates under dependence and heteroscedasticity
• On a multivariate conditional heteroscedastic model
• Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models

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