Tail index of an AR(1) model with ARCH(1) errors
DOI10.1017/S0266466612000801zbMATH Open1290.62071OpenAlexW2120508818MaRDI QIDQ4979320FDOQ4979320
Authors: Ngai Hang Chan, Deyuan Li, Rong-Mao Zhang, Liang Peng 
Publication date: 20 June 2014
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466612000801
Recommendations
- Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
- Interval estimation of the tail index of a GARCH(1,1) model
- Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
- Likelihood based confidence intervals for the tail index
- Hill's estimator for the tail index of an ARMA model
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70)
Cites Work
- Empirical likelihood ratio confidence regions
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Empirical likelihood and general estimating equations
- Empirical likelihood
- Title not available (Why is that?)
- A review on empirical likelihood methods for regression
- Estimation and Testing Stationarity for Double-Autoregressive Models
- Extremal behavior of the autoregressive process with ARCH(1) errors
- The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
- Asymptotic behaviour of the sample autocovariance and autocorrelation function of the \(AR(1)\) process with \(\text{ARCH}(1)\) errors
- Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors
Cited In (9)
- Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
- Hill's estimator for the tail index of an ARMA model
- Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
- Extreme Quantile Estimation for Autoregressive Models
- Empirical likelihood inference for INAR(1) model with explanatory variables
- Change point tests for the tail index of \(\beta\)-mixing random variables
- Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices
- Empirical likelihood for linear and log-linear INGARCH models
- Interval estimation of the tail index of a GARCH(1,1) model
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