Least squares estimation of ARCH models with missing observations

DOI10.1111/J.1467-9892.2012.00803.XMaRDI QIDQ5397963zbMATH OpenOpenAlexFDO

Authors 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

least squares estimationARCH modelsmissing observationsmartingale central limit theoremconditional heteroscedasticity

Mathematics Subject Classification ID

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

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Cited in

(7)

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

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