Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

DOI10.1111/j.1468-0262.2004.00504.xzbMath1091.62074OpenAlexW1980002957MaRDI QIDQ5473024

Publication date: 19 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1468-0262.2004.00504.x

zbMATH Keywords

GARCH nonstationarity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Economic time series analysis (91B84) Stochastic models in economics (91B70)

Related Items (69)

On the choice of test for a unit root when the errors are conditionally heteroskedastic ⋮ ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS ⋮ HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS ⋮ A score statistic for testing the presence of a stochastic trend in conditional variances ⋮ On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space ⋮ Semi-parametric estimation and forecasting for exogenous log-GARCH models ⋮ Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation ⋮ Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models ⋮ LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS ⋮ RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS ⋮ ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH ⋮ The ARCH(2) model: Pseudo-maximum estimation and asymptotic results under dependent innovations ⋮ Oracally efficient estimation and testing for an ARCH model with trend ⋮ Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models ⋮ Nonstationary GARCH with \(t\)-distributed innovations ⋮ NON-STATIONARITY AND QUASI-MAXIMUM LIKELIHOOD ESTIMATION ON A DOUBLE AUTOREGRESSIVE MODEL ⋮ Pseudo maximum likelihood estimation and asymptotic results of the GARCH (1, 2) Model under dependent innovations ⋮ Inference in nonstationary asymmetric GARCH models ⋮ Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations ⋮ The ZD-GARCH model: a new way to study heteroscedasticity ⋮ Non-stationary quasi-likelihood and asymptotic optimality ⋮ Some characterizations of non-ergodic estimating functions for stochastic processes ⋮ Rejoinder on: Some recent theory for autoregressive count time series ⋮ GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference ⋮ Dynamic conditional eigenvalue GARCH ⋮ Asymptotic inference of unstable periodic ARCH processes ⋮ QMLE for periodic absolute value GARCH models ⋮ Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions ⋮ A note on the QMLE limit theory in the non-stationary ARCH(1) model ⋮ Location Multiplicative Error Models with Quasi Maximum Likelihood Estimation ⋮ Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models ⋮ Tail behavior of ACD models and consequences for likelihood-based estimation ⋮ Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE ⋮ Offline and online weighted least squares estimation of nonstationary power ARCH processes ⋮ Pseudo maximum likelihood estimation of the univariate GARCH (2,2) and asymptotic normality under dependent innovations ⋮ Statistical inference for non-stationary GARCH(\(p\),\(q\)) models ⋮ On dynamics of volatilities in nonstationary GARCH models ⋮ Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model ⋮ Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models ⋮ Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models ⋮ MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL ⋮ QMLE for periodic time-varying asymmetric log GARCH models ⋮ Random coefficient continuous systems: testing for extreme sample path behavior ⋮ An ARCH model without intercept ⋮ Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases ⋮ Strict stationarity testing and GLAD estimation of double autoregressive models ⋮ Estimation and strict stationarity testing of ARCH processes based on weighted least squares ⋮ ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS ⋮ Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model ⋮ ARCH/GARCH with persistent covariate: asymptotic theory of MLE ⋮ Semiparametric inference in a GARCH-in-mean model ⋮ Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model ⋮ ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS ⋮ Estimation in nonstationary random coefficient autoregressive models ⋮ BIVARIATE ARCH MODELS: FINITE-SAMPLE PROPERTIES OF QML ESTIMATORS AND AN APPLICATION TO AN LM-TYPE TEST ⋮ QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS ⋮ Estimation and Asymptotic Inference in the AR-ARCH Model ⋮ Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients ⋮ Asymptotic normality of the MLE in the level-effect ARCH model ⋮ Structure and estimation of a class of nonstationary yet nonexplosive GARCH models ⋮ MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS ⋮ TESTING GARCH-X TYPE MODELS ⋮ ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS ⋮ A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS ⋮ Double AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity ⋮ Explosive strong periodic autoregression with multiplicity one ⋮ QMLE of periodic time-varying bilinear– GARCH models ⋮ Testing the existence of moments for GARCH processes ⋮ Hybrid quantile estimation for asymmetric power GARCH models

This page was built for publication: Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case