Quasi maximum exponential likelihood estimation of GARCH model based on high frequency data

MaRDI QIDQ6188569zbMATH OpenFDO

Authors Lili Li, XingFa Zhang, Chunliang Deng, Yuan Li

Publication date 7 February 2024

Full work available at URL https://applmath.cjoe.ac.cn/jweb_yysxxb/EN/Y2022/V45/I5/652

zbMATH Keywords

GARCH modelhigh frequency dataquasi-maximum exponential likelihood estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12)

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Cites work

• Generalized autoregressive conditional heteroscedasticity
• Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
• Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
• Least absolute deviations estimation for ARCH and GARCH models
• Quasi-maximum exponential likelihood estimation for a GARCH-M type model
• Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model
• Quasi-maximum exponential likelihood estimation for non-stationary GARCH(1,1) models with high-frequency data
• Quasi-maximum exponential likelihood estimators for GARCH models based on high frequency data
• Robust \(M\)-estimate of GJR model with high frequency data

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