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

DOI10.1016/J.SPL.2011.02.004MaRDI QIDQ534428zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Cited in

(3)

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

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