Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
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Cites work
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- Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH 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
- Can one estimate the conditional distribution of post-model-selection estimators?
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Efficient estimation in semiparametric GARCH models
- GARCH processes: structure and estimation
- Generalized autoregressive conditional heteroscedasticity
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Model Selection
- On adaptive estimation in nonstationary ARMA models with GARCH errors
- On the efficiency of a semi-parametric GARCH model
- Pseudo‐likelihood estimation in ARCH models
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Semi-Nonparametric Maximum Likelihood Estimation
- The efficiency of the estimators of the parameters in GARCH processes.
Cited in
(22)- Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
- Consistent non-Gaussian pseudo maximum likelihood estimators
- On periodic logGARCH model with empirical application model with empirical application
- Root-\(T\) consistent density estimation in GARCH models
- Reconsidering the gains in efficiency from ML estimation versus OLS in ARCH models
- A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
- On the three-step non-Gaussian quasi-maximum likelihood estimation of heavy-tailed double autoregressive models
- Testing the existence of moments for GARCH processes
- Standard Laplace quasi-maximum likelihood estimator for GARCH processes
- On dynamics of volatilities in nonstationary GARCH models
- Consistent pseudo-maximum likelihood estimators and groups of transformations
- Adaptive quasi-maximum likelihood estimation of GARCH models with Student's \(t\) likelihood
- Semiparametric time series models with log-concave innovations: maximum likelihood estimation and its consistency
- Statistical inference for nonparametric GARCH models
- Bootstrap specification tests for dynamic conditional distribution models
- Modeling nonstationary and leptokurtic financial time series
- On Efficient Inference in GARCH Processes
- Teaching size and power properties of hypothesis tests through simulations
- Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
- Generalized Gaussian quasi-maximum likelihood estimation for most common time series
- Risk-parameter estimation in volatility models
- Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
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