Test for zero median of errors in an ARMA-GARCH model

DOI10.1017/S0266466621000244MaRDI QIDQ5081790zbMATH OpenOpenAlexFDO

Authors Yaolan Ma, Mo Zhou, Rong-Mao Zhang, Liang Peng

Publication date 17 June 2022

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466621000244

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A simple general approach to inference about the tail of a distribution
• Asymptotic inference for AR models with heavy-tailed G-GARCH noises
• Asymptotic theory for a vector ARMA-GARCH model
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Empirical likelihood
• Empirical likelihood and general estimating equations
• Empirical likelihood for AR-ARCH models based on LAD estimation
• EMPIRICAL LIKELIHOOD FOR GARCH MODELS
• Estimation of the maximal moment exponent of a GARCH(1,1) sequence
• Generalized autoregressive conditional heteroscedasticity
• Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• Inference for conditional value-at-risk of a predictive regression
• Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Interval estimation of the tail index of a GARCH(1,1) model
• LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises
• Least absolute deviations estimation for ARCH and GARCH models
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Regular variation of GARCH processes.
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models

Cited in

(7)

• Empirical likelihood test for the application of SWQMELE in fitting an ARMA-GARCH model
• Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference
• Testing serial correlation in a general d -factor model with possible infinite variance
• Self-weighted estimation for nonstationary processes with infinite variance GARCH errors
• Extreme conditional tail risk inference in ARMA-GARCH models
• Towards a unified test for the intercept of autoregressive models
• A two-step estimating approach for heavy-tailed AR models with nonzero median GARCH-type noises

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