Inference for asymmetric exponentially weighted moving average models

DOI10.1111/JTSA.12464MaRDI QIDQ5111784zbMATH OpenOpenAlexWikidataFDO

Authors Dong Li, Ke Zhu

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

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)

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

Cites work

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

Cited in

(4)

• Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
• EWMA historical volatility estimators
• Cost-sensitive estimation of ARMA models for financial asset return data
• Industrial Forecasting with Exponentially Smoothed Recurrent Neural Networks

Describes a project that uses

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)