Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods

DOI10.1080/07350015.2013.840239MaRDI QIDQ6666953zbMATH OpenFDO

Authors Jianqing Fan, Lei Qi, Dacheng Xiu

Publication date 20 January 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2013.840239

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Statistics of extreme values; tail inference (62G32) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(10)

• Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models
• Bootstrap unit root inference for linear processes of possibly heavy-tailed GARCH-type noises
• On estimation of skewed stable linear regression
• Testing for parameter change epochs in GARCH time series
• Limit theory for martingale transforms with heavy-tailed noise
• Improved estimation of dynamic models of conditional means and variances
• Hurdle GARCH models for nonnegative time series
• Consistent non-Gaussian pseudo maximum likelihood estimators of spatial autoregressive models
• QMLE for GARCH process with generalized Gaussian errors of variant mean
• A two-step estimating approach for heavy-tailed AR models with nonzero median GARCH-type noises

This page was built for publication: Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6666953)