Inconsistency of the MLE and inference based on weighted LS for LARCH models

DOI10.1016/J.JECONOM.2010.05.003zbMATH Open1431.62372OpenAlexW2066378766MaRDI QIDQ736696FDOQ736696

C. Francq, Jean-Michel Zakoïan

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.05.003

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zbMATH Keywords

leverage effectweighted least-squaresquasi-maximum likelihoodconditional homoscedasticity testinglinear ARCH

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Cites Work

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• Inconsistent maximum likelihood estimators for the Rasch model
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Cited In (20)

• Non-standard inference for augmented double autoregressive models with null volatility coefficients
• ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS
• A generalized nonlinear model for long memory conditional heteroscedasticity
• Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
• A new estimator for LARCH processes
• Contrast estimation of time-varying infinite memory processes
• A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function
• Mallows' quasi-likelihood estimation for log-linear Poisson autoregressions
• QMLE for Quadratic ARCH Model with Long Memory
• A scalar dynamic conditional correlation model: structure and estimation
• Stochastic online convex optimization. Application to probabilistic time series forecasting
• GARCH models without positivity constraints: exponential or log GARCH?
• M-estimation for periodic GARCH model with high-frequency data
• R-estimation in semiparametric dynamic location-scale models
• Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases
• Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches
• Periodic autoregressive stochastic volatility
• The Portmanteau Tests and the LM Test for ARMA Models with Uncorrelated Errors
• Inference in nonstationary asymmetric GARCH models
• Asymptotic inference of unstable periodic ARCH processes

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