Tail index of an AR(1) model with ARCH(1) errors

DOI10.1017/S0266466612000801MaRDI QIDQ4979320zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70)

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Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• A review on empirical likelihood methods for regression
• Asymptotic behaviour of the sample autocovariance and autocorrelation function of the \(AR(1)\) process with \(\text{ARCH}(1)\) errors
• Empirical likelihood
• Empirical likelihood and general estimating equations
• Empirical likelihood ratio confidence regions
• Estimation and Testing Stationarity for Double-Autoregressive Models
• Extremal behavior of the autoregressive process with ARCH(1) errors
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
• Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors

Cited in

(9)

• Empirical likelihood for linear and log-linear INGARCH models
• Extreme Quantile Estimation for Autoregressive Models
• Change point tests for the tail index of \(\beta\)-mixing random variables
• 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
• Hill's estimator for the tail index of an ARMA model
• Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
• Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices
• Empirical likelihood inference for INAR(1) model with explanatory variables

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