Empirical likelihood parametric estimations for GARCH-M models

zbMATH Open1313.62122MaRDI QIDQ5497941FDOQ5497941

Authors: Fengjing Cai, Yan Sun, Yuan Li, Haiqing Zhao 

Publication date: 11 February 2015

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zbMATH Keywords

\(\chi^2\) distributionempirical likelihood estimationGARCH-M models

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cited In (9)

• Empirical likelihood inference for functional coefficient ARCH-M model
• M-ESTIMATION IN GARCH MODELS
• Empirical likelihood based estimation for a class of functional coefficient ARCH-M models
• The asymptotic convexity of the negative likelihood function of GARCH models
• Title not available (Why is that?)
• EMPIRICAL LIKELIHOOD FOR GARCH MODELS
• M-estimate for the stationary hyperbolic GARCH models
• Smoothed empirical likelihood for GARCH models with heavy-tailed errors
• Empirical likelihood estimation for ARCH-M models

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