ARCH/GARCH with persistent covariate: asymptotic theory of MLE

DOI10.1016/J.JECONOM.2011.10.004MaRDI QIDQ738138zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

GARCHmaximum likelihood estimatorARCHasymptotic distribution theorypersistent covariate

Mathematics Subject Classification ID

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

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• QML inference for volatility models with covariates
• Asymptotics for parametric GARCH-in-mean models
• Asymptotic theory of univariate GARCH estimation: stationary and nonstationary case
• ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• Asymptotics for linear processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
• GARCH processes: structure and estimation
• Generalized autoregressive conditional heteroscedasticity
• Near-integrated GARCH sequences
• Nonlinear Regressions with Integrated Time Series
• Nonstationary nonlinear heteroskedasticity.
• Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
• Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
• Time series properties of ARCH processes with persistent covariates
• WHITTLE ESTIMATION OF ARCH MODELS
• What good is a volatility model?

Cited in

(9)

• Semi-parametric estimation and forecasting for exogenous log-GARCH models
• Time series properties of ARCH processes with persistent covariates
• A perspective on recent methods on testing predictability of asset returns
• Nonparametric testing for long-horizon predictability with persistent covariates
• 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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