Least squares estimation of ARCH models with missing observations

DOI10.1111/j.1467-9892.2012.00803.xzbMath1281.62190OpenAlexW2139190831MaRDI QIDQ5397963

Pascal Bondon, Natalia Bahamonde

Publication date: 25 February 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10533/134800

zbMATH Keywords

missing observationsARCH modelsleast squares estimationmartingale central limit theoremconditional heteroscedasticity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Statistical methods; economic indices and measures (91B82)

Related Items (6)

Missing observations in observation-driven time series models ⋮ Quasi-maximum likelihood estimation of GARCH models in the presence of missing values ⋮ Estimating \(\operatorname{GARCH}(1, 1)\) in the presence of missing data ⋮ Spectral estimation in the presence of missing data ⋮ Minimum distance estimation of locally stationary moving average processes ⋮ Correcting outliers in GARCH models: a weighted forward approach

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