Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
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Publication:4883104
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Cited in
(only showing first 100 items - show all)- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Testing for GARCH effects: A one-sided approach
- Small sample properties of \(\text{GARCH}(1,1)\) estimator under non-normality
- Gaussian inference on certain long-range dependent volatility models
- \(L_{p}\)-estimators in ARCH models
- The rate of consistency of the quasi-maximum likelihood estimator.
- Fat tails and asymmetry in financial volatility models.
- Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns
- Coefficient constancy test in AR-ARCH models
- Semiparametric score driven volatility models
- Quasi-maximum likelihood estimator of Laplace \((1,1)\) for GARCH models
- Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
- Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Whittle estimation in a heavy-tailed GARCH(1,1) model.
- Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
- Asymptotic theory for multivariate GARCH processes.
- The efficiency of the estimators of the parameters in GARCH processes.
- Modeling and pricing long memory in stock market volatility
- Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
- Real time estimation of stochastic volatility processes
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Asymptotic normality of the MLE in the level-effect ARCH model
- Estimating critical values for testing the i.i.d. in standardized residuals from GARCH models in finite samples
- Estimation and strict stationarity testing of ARCH processes based on weighted least squares
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
- Residual-based rank specification tests for AR-GARCH type models
- Explosive strong periodic autoregression with multiplicity one
- Bad environments, good environments: a non-Gaussian asymmetric volatility model
- Estimation in a class of nonlinear heteroscedastic time series models
- Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models
- Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
- Limit results for the empirical process of squared residuals in GARCH models.
- Fractionally integrated time varying GARCH model
- The stationary seasonal hyperbolic asymmetric power ARCH model
- Neglecting parameter changes in GARCH models
- Assessing the bias of maximum likelihood estimates of contaminated garch models
- Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
- Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model
- Smoothed empirical likelihood for GARCH models with heavy-tailed errors
- On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models
- Higher order asymptotic theory when a parameter is on a boundary with an application to GARCH models
- Inference for Box-Cox transformed threshold GARCH models with nuisance parameters
- ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS
- Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
- Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
- Maximum entropy autoregressive conditional heteroskedasticity model
- Granger causality in risk and detection of extreme risk spillover between financial markets
- Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
- Asymptotics for parametric GARCH-in-mean models
- Estimation and asymptotic inference in the AR-ARCH model
- Parameter estimation in nonlinear AR-GARCH models
- Statistical inference for nonparametric GARCH models
- Small sample estimation bias in GARCH models with any number of exogenous variables in the mean equation
- Consistency of quasi-maximum likelihood estimators in INGARCH models
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
- MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
- TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
- Estimating GARCH models: when to use what?
- M-ESTIMATION IN GARCH MODELS
- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
- Large-scale volatility models: theoretical properties of professionals’ practice
- Finite sample theory of QMLE in ARCH models with dynamics in the mean equation
- Effects of level shifts and temporary changes on the estimation of GARCH models
- Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation
- ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES
- ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
- QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- A goodness-of-fit test for GARCH innovation density
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- Normalité asymptotique de l'estimateur du pseudo-maximum de vraisemblance d'un modèle GARCH
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Asymptotic theory for a vector ARMA-GARCH model
- Asymptotics for GARCH squared residual correlations
- Asymptotic inference for unit root processes with GARCH(1,1) errors
- Estimation of the maximal moment exponent of a GARCH(1,1) sequence
- Diagnostic checking for the adequacy of nonlinear time series models
- Pseudo maximum-likelihood estimation of the univariate GARCH (1,1) and asymptotic properties
- Testing for persistence in stock returns with GARCH-stable shocks
- SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE
- On dynamics of volatilities in nonstationary GARCH models
- Level changes in volatility models
- Parameter Estimation in Conditional Heteroscedastic Models
- Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models
- Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- A semiparametric conditional duration model
- Quantile regression estimator for GARCH models
- On convergence of the QMLE for misspecified GARCH models
- An ARCH model without intercept
- Asymptotic theory for QMLE for the real-time GARCH\((1,1)\) model
- Generalized autoregressive moving average models with GARCH errors
- Robust and efficient estimation of GARCH models based on Hellinger distance
- Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
- Pseudo maximum likelihood estimation and asymptotic results of the GARCH (1, 2) Model under dependent innovations
- Time-varying autoregressive conditional duration model
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