ARCH/GARCH with persistent covariate: asymptotic theory of MLE
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Publication:738138
DOI10.1016/J.JECONOM.2011.10.004zbMATH Open1441.62720OpenAlexW2022331743MaRDI QIDQ738138FDOQ738138
Authors: Heejoon Han, Joon Y. Park 
Publication date: 15 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.10.004
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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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- Asymptotics for linear processes
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Title not available (Why is that?)
- GARCH processes: structure and estimation
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Nonlinear Regressions with Integrated Time Series
- What good is a volatility model?
- WHITTLE ESTIMATION OF ARCH MODELS
- Nonstationary nonlinear heteroskedasticity.
- Time series properties of ARCH processes with persistent covariates
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
- FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
- Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
- Near-integrated GARCH sequences
Cited In (9)
- Semi-parametric estimation and forecasting for exogenous log-GARCH models
- Time series properties of ARCH processes with persistent covariates
- Nonparametric testing for long-horizon predictability with persistent covariates
- A perspective on recent methods on testing predictability of asset returns
- GARCH with omitted persistent covariate
- Asymptotic normality of the MLE in the level-effect ARCH model
- Testing GARCH-X type models
- Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
- QML inference for volatility models with covariates
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