Inference for asymmetric exponentially weighted moving average models

DOI10.1111/JTSA.12464zbMATH Open1456.62205OpenAlexW2950321285WikidataQ128206296 ScholiaQ128206296MaRDI QIDQ5111784FDOQ5111784

Ke Zhu, Dong Li

Publication date: 27 May 2020

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12464

Recommendations

• Inference in nonstationary asymmetric GARCH models
• Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation
• A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
• Volatility modeling with a generalized \(t\) distribution
• Adaptive quasi-maximum likelihood estimation of GARCH models with Student's \(t\) likelihood

zbMATH Keywords

maximum likelihood estimationnon-stationarityvolatility modelasymmetric EWMA model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Identification in stochastic control theory (93E12)

Cites Work

• Martingale Approach in the Theory of Goodness-of-Fit Tests
• Estimation When a Parameter is on a Boundary
• The efficiency of the estimators of the parameters in GARCH processes.
• Estimation in conditionally heteroscedatic time series models.
• Realistic Statistical Modelling of Financial Data
• Dynamic models for volatility and heavy tails. With applications to financial and economic time series
• Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
• Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons
• Nonstationary GARCH with \(t\)-distributed innovations
• An ARCH model without intercept
• EGARCH models with fat tails, skewness and leverage
• The ZD-GARCH model: a new way to study heteroscedasticity

Cited In (2)

• Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
• Industrial Forecasting with Exponentially Smoothed Recurrent Neural Networks

Uses Software

• RiskMetrics

This page was built for publication: Inference for asymmetric exponentially weighted moving average models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5111784)