Location Multiplicative Error Models with Quasi Maximum Likelihood Estimation

DOI10.1111/JTSA.12513zbMATH Open1453.62638OpenAlexW2989696942WikidataQ126650497 ScholiaQ126650497MaRDI QIDQ5111852FDOQ5111852

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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Cited In (2)

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

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