Empirical likelihood parametric estimations for GARCH-M models

MaRDI QIDQ5497941zbMATH OpenFDO

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

Publication date 11 February 2015

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)

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(9)

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• The asymptotic convexity of the negative likelihood function of GARCH models
• M-ESTIMATION IN GARCH MODELS
• Empirical likelihood estimation for ARCH-M models
• M-estimate for the stationary hyperbolic GARCH models
• Empirical likelihood inference for functional coefficient ARCH-M model
• EMPIRICAL LIKELIHOOD FOR GARCH MODELS
• scientific article; zbMATH DE number 1222304 (Why is no real title available?)

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