On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series

DOI10.1080/03610918.2019.1593453MaRDI QIDQ5082676zbMATH OpenOpenAlexFDO

Authors Jae Eun Yoon, S. Y. Hwang

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1593453

zbMATH Keywords

quasi-likelihoodARCHasymmetric errorsthreshold-innovation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 3930122 (Why is no real title available?)
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• Estimation in conditionally heteroscedatic time series models.
• Godambe estimating functions and asymptotic optimal inference
• Handbook of Financial Time Series
• Martingale Estimating Functions for Stochastic Processes: A Review Toward a Unifying Tool
• On Bayesian Modeling of Fat Tails and Skewness
• Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
• Practical Issues in the Analysis of Univariate GARCH Models
• Quasi-likelihood and its application. A general approach to optimal parameter estimation
• Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach
• The foundations of finite sample estimation in stochastic processes

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