QMLE for quadratic ARCH model with long memory

DOI10.1111/JTSA.12227zbMATH Open1367.62061OpenAlexW2964034198MaRDI QIDQ5283410FDOQ5283410

Andrius Škarnulis, Ieva Grublytė, Donatas Surgailis

Publication date: 21 July 2017

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

Full work available at URL: https://doi.org/10.1111/jtsa.12227

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zbMATH Keywords

parametric estimationlong memoryquasi-maximum likelihoodLARCH modelquadratic ARCH process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Quadratic ARCH Models
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Distribution function inequalities for martingales
• A model for long memory conditional heteroscedasticity.
• On the subspaces of \(L^p\) \((p > 2)\) spanned by sequences of independent random variables
• ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS
• A nonlinear model for long-memory conditional heteroscedasticity
• On approximate pseudo-maximum likelihood estimation for LARCH-processes
• Inconsistency of the MLE and inference based on weighted LS for LARCH models
• Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
• A generalized nonlinear model for long memory conditional heteroscedasticity

Cited In (5)

• A new estimator for LARCH processes
• Quasi-maximum likelihood estimation of long-memory limiting aggregate processes
• A nonlinear model for long-memory conditional heteroscedasticity
• Quadratic ARCH Models
• Long run recursive VAR models and QR decompositions.

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