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

DOI10.1016/j.spl.2011.02.004zbMath1213.62140MaRDI QIDQ534428

Taewook Lee, Jeongcheol Ha

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

zbMATH Keywords

consistency; Gaussian mixture model; ARMA-GARCH model; QMLE; quasi-maximum estimated likelihood estimator

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G05: Nonparametric estimation

62F10: Point estimation

Related Items

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

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