QMLE for quadratic ARCH model with long memory

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

Authors Ieva Grublytė, Donatas Surgailis, Andrius Škarnulis 

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

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)

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Cites work

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

Cited in

(6)

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

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