Inconsistency of the MLE and inference based on weighted LS for LARCH models
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Cites work
- scientific article; zbMATH DE number 48305 (Why is no real title available?)
- scientific article; zbMATH DE number 765034 (Why is no real title available?)
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Cited in
(21)- 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
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- Contrast estimation of time-varying infinite memory processes
- A new estimator for LARCH processes
- A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function
- The portmanteau tests and the LM test for ARMA models with uncorrelated errors
- Mallows' quasi-likelihood estimation for log-linear Poisson autoregressions
- A scalar dynamic conditional correlation model: structure and estimation
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- GARCH models without positivity constraints: exponential or log GARCH?
- Estimating weak Markov-switching AR(1) models
- M-estimation for periodic GARCH model with high-frequency data
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- Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches
- Periodic autoregressive stochastic volatility
- QMLE for quadratic ARCH model with long memory
- Inference in nonstationary asymmetric GARCH models
- Asymptotic inference of unstable periodic ARCH processes
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