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

DOI10.1111/j.1468-0262.2004.00504.xzbMath1091.62074MaRDI 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

62F12: Asymptotic properties of parametric estimators

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

60F05: Central limit and other weak theorems

91B84: Economic time series analysis

91B70: Stochastic models in economics

Related Items

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