Standard Laplace quasi-maximum likelihood estimator for GARCH processes

DOI10.1080/03610918.2021.1884877MaRDI QIDQ6171872zbMATH OpenFDO

Authors Yakoub Boularouk

Publication date 18 July 2023

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2021.1884877

zbMATH Keywords

asymptotic normalityGARCH processesLaplace quasi-maximum likelihood estimatorstrong consistency

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• An Inequality and Almost Sure Convergence
• Asymptotic behavior of the Laplacian quasi-maximum likelihood estimator of affine causal processes
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• GARCH processes: structure and estimation
• Generalized autoregressive conditional heteroscedasticity
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Quasi-maximum likelihood estimation of GARCH with Student distributed noise
• Quasi-maximum likelihood estimator of Laplace \((1,1)\) for GARCH models
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• The efficiency of the estimators of the parameters in GARCH processes.
• Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE

Cited in

(6)

• M-estimate for the stationary hyperbolic GARCH models
• Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
• QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
• GJR-GARCH process with normal errors of varying mean
• Non-Parametric Estimation for Locally Stationary Integer-Valued Processes
• QMLE for GARCH process with generalized Gaussian errors of variant mean

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