scientific article; zbMATH DE number 2197669

zbMATH Open1066.62089MaRDI QIDQ5311580FDOQ5311580

Authors: Xiaoguang Wang, Lixing Song 

Publication date: 23 August 2005

Title of this publication is not available (Why is that?)

Recommendations

• Estimation and testing for the parameters of \(\operatorname{AR}(p)\)-\(\operatorname {ARCH}(q)\) under ordered restriction
• Estimation and testing for the parameters of ARCH(q) under ordered restriction
• scientific article; zbMATH DE number 2164009
• Selecting the order of an ARCH model
• scientific article; zbMATH DE number 4043108

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric inference under constraints (62F30)

Cited In (9)

• Quasi-likelihood estimation of parameters in AR(2) model under order restriction
• Selecting the order of an ARCH model
• Estimation and testing for the parameters of ARCH(q) under ordered restriction
• Normalized least-squares estimation in time-varying ARCH models
• Least squares estimation of ARCH models with missing observations
• Estimation and testing for the parameters of \(\operatorname{AR}(p)\)-\(\operatorname {ARCH}(q)\) under ordered restriction
• Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
• Asymptotic efficiency of conditional least squares estimators for ARCH models
• Title not available (Why is that?)

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5311580)