Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
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Cites work
- A Class of Nonlinear Arch Models
- Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
- Estimation and tests for power-transformed and threshold GARCH models
- GARCH processes: structure and estimation
- Generalized autoregressive conditional heteroscedasticity
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
- QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Stationarity of GARCH processes and of some nonnegative time series
- The Lindeberg-Levy Theorem for Martingales
Cited in
(31)- Asymptotics of Cholesky GARCH models and time-varying conditional betas
- Semiparametric efficient adaptive estimation of the GJR-GARCH model
- Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients
- QML estimation of asymmetric Markov switching GARCH(p,q) processes
- Asymptotic normality of the MLE in the level-effect ARCH model
- Estimation of multivariate asymmetric power GARCH models
- Hybrid quantile estimation for asymmetric power GARCH models
- Statistical inference for mixture GARCH models with financial application
- Portmanteau test for the asymmetric power GARCH model when the power is unknown
- Testing for local covariate trend effects in volatility models
- Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes
- Bayesian analysis of periodic asymmetric power GARCH models
- Conditional asymmetry in power ARCH() models
- Fourier-type estimation of the power GARCH model with stable-Paretian innovations
- Estimation and tests for power-transformed and threshold GARCH models
- QML estimation of a class of multivariate asymmetric GARCH models
- Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
- Inference in nonstationary asymmetric GARCH models
- Risk forecasting in (T)GARCH models with uncorrelated dependent innovations
- QML inference for volatility models with covariates
- Necessary and sufficient conditions for the identifiability of observation‐driven models
- Power periodic threshold GARCH model: structure and estimation
- Quasi-maximum exponential likelihood estimation for double-threshold GARCH models
- LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS
- A residual bootstrap for conditional value-at-risk
- Testing for an Omitted Multiplicative Long-Term Component in GARCH Models
- Quasi-likelihood estimation in volatility models for semi-continuous time series
- A functional coefficients network autoregressive model
- Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models
- Finite moments testing in a general class of nonlinear time series models
- Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
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