Location multiplicative error models with quasi maximum likelihood estimation

DOI10.1111/JTSA.12513MaRDI QIDQ5111852zbMATH OpenOpenAlexWikidataFDO

Authors Qian 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.12513

zbMATH Keywords

GARCHfinancial time seriesasymptotic inferencezero-augmentedmultiplicative error model (MEM)quasi maximum likelihood estimation (QMLE)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

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Cited in

(2)

• The locally MIMSQE of nonnormal error variance in quadratically balanced models
• Periodic autoregressive conditional duration

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