Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
DOI10.1016/J.JSPI.2010.06.026zbMATH Open1197.62128OpenAlexW2089869042MaRDI QIDQ710816FDOQ710816
Jean-Michel Zakoïan, Tawfik Hamadeh
Publication date: 22 October 2010
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2010.06.026
Recommendations
- A Tour in the Asymptotic Theory of GARCH Estimation
- Parameter estimation in nonlinear AR-GARCH models
- Asymptotic theory of univariate GARCH estimation: stationary and nonstationary case
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Estimation and tests for power-transformed and threshold GARCH models
conditional heteroskedasticitymaximum likelihood estimationleast-squaresthreshold GARCHpower-transformed volatility
Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- The Lindeberg-Levy Theorem for Martingales
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- A Class of Nonlinear Arch Models
- GARCH processes: structure and estimation
- Stationarity of GARCH processes and of some nonnegative time series
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Estimation and tests for power-transformed and threshold GARCH models
- Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
- QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
- ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
- Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
Cited In (26)
- Necessary and sufficient conditions for the identifiability of observation‐driven models
- Semiparametric efficient adaptive estimation of the GJR-GARCH model
- Hybrid quantile estimation for asymmetric power GARCH models
- Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
- Fourier-type estimation of the power GARCH model with stable-Paretian innovations
- QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
- Asymptotics of Cholesky GARCH models and time-varying conditional betas
- Statistical inference for mixture GARCH models with financial application
- Testing for local covariate trend effects in volatility models
- Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes
- Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
- Portmanteau test for the asymmetric power GARCH model when the power is unknown
- A residual bootstrap for conditional value-at-risk
- Testing for an Omitted Multiplicative Long-Term Component in GARCH Models
- Conditional asymmetry in power ARCH\((\infty)\) models
- QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES
- LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS
- Estimation of multivariate asymmetric power GARCH models
- Quasi-likelihood estimation in volatility models for semi-continuous time series
- Bayesian analysis of periodic asymmetric power GARCH models
- Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients
- QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes
- Risk forecasting in (T)GARCH models with uncorrelated dependent innovations
- Asymptotic normality of the MLE in the level-effect ARCH model
- Power periodic threshold GARCH model: Structure and estimation
- Inference in nonstationary asymmetric GARCH models
This page was built for publication: Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q710816)
