NM-QELE for ARMA-GARCH models with non-Gaussian innovations

DOI10.1016/J.SPL.2011.02.004zbMATH Open1213.62140OpenAlexW1996960310MaRDI QIDQ534428FDOQ534428

Authors: Jeongcheol Ha, Taewook Lee 

Publication date: 17 May 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.02.004

Recommendations

• Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Normal mixture quasi-maximum likelihood estimator for GARCH models
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models

zbMATH Keywords

consistencyGaussian mixture modelARMA-GARCH modelQMLEquasi-maximum estimated likelihood estimator

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Finite mixture models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Mixture Densities, Maximum Likelihood and the EM Algorithm
• Consistent estimation of a mixing distribution
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• The efficiency of the estimators of the parameters in GARCH processes.
• Inference for Box-Cox transformed threshold GARCH models with nuisance parameters
• Note on the consistency of the maximum likelihood estimate for nonidentifiable distributions
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Stationarity and the existence of moments of a family of GARCH processes.
• Bayesian estimation of the Gaussian mixture GARCH model
• Normal mixture quasi-maximum likelihood estimator for GARCH models

Cited In (3)

• A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models
• A note on Jarque-Bera normality test for ARMA-GARCH innovations
• Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models

This page was built for publication: NM-QELE for ARMA-GARCH models with non-Gaussian innovations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q534428)