Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach

DOI10.1016/J.JKSS.2014.01.005MaRDI QIDQ488612zbMATH OpenOpenAlexFDO

Authors Yong-Cai Geng, Sumit K. Garg

Publication date 26 January 2015

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2014.01.005

zbMATH Keywords

quasilikelihoodquasi-maximum likelihoodGARCH-typeskewed \(t\)-distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

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Cites work

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Cited in

(5)

• QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
• Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
• Standard Laplace quasi-maximum likelihood estimator for GARCH processes
• Feasible optimum Godambe scores for a semi-parametric GARCH time series
• On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series

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