Empirical likelihood for AR-ARCH models based on LAD estimation
DOI10.1007/S10255-010-0051-9zbMATH OpenNoneOpenAlexW2068773074MaRDI QIDQ511188FDOQ511188
Authors: Jinyu Li, Wei Liang, Shuyuan He 
Publication date: 14 February 2017
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-010-0051-9
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Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Empirical likelihood ratio confidence regions
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Empirical likelihood and general estimating equations
- Empirical likelihood ratio confidence intervals for a single functional
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- EMPIRICAL LIKELIHOOD FOR GARCH MODELS
- Empirical likelihood confidence regions in time series models
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- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Least absolute deviations estimation for ARCH and GARCH models
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- M-estimation for autoregression with infinite variance
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- Least absolute deviation estimation for regression with ARMA errors
- Weighted least absolute deviations estimation for ARMA models with infinite variance
Cited In (8)
- Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors
- A review of empirical likelihood methods for time series
- Test for zero median of errors in an ARMA-GARCH model
- Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference
- Empirical likelihood for least absolute relative error regression
- Smoothed empirical likelihood for GARCH models with heavy-tailed errors
- Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models
- Empirical likelihood estimation for ARCH-M models
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