scientific article; zbMATH DE number 2197669

MaRDI QIDQ5311580zbMATH OpenFDO

Authors Xiaoguang Wang, Lixing Song

Publication date 23 August 2005

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)

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

Cited in

(9)

• scientific article; zbMATH DE number 2164009 (Why is no real title available?)
• Quasi-likelihood estimation of parameters in AR(2) model under order restriction
• Selecting the order of an ARCH model
• Normalized least-squares estimation in time-varying ARCH models
• Estimation and testing for the parameters of ARCH(q) under ordered restriction
• 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

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)