Semiparametric efficient adaptive estimation of asymmetric GARCH models

DOI10.1016/J.JECONOM.2005.03.019MaRDI QIDQ274928zbMATH OpenOpenAlexFDO

Authors Yiguo Sun, Thanasis Stengos

Publication date 25 April 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2005.03.019

zbMATH Keywords

asymmetric GARCHsemiparametric adaptive estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84)

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Cites work

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• Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Efficient estimation in nonlinear autoregressive time-series models
• Efficient estimation in semiparametric GARCH models
• Generalized autoregressive conditional heteroscedasticity
• On asymptotically efficient estimation in semiparametric models
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Semiparametric efficiency bounds
• Semiparametric efficient adaptive estimation of asymmetric GARCH models

Cited in

(16)

• Semiparametric efficient adaptive estimation of asymmetric GARCH models
• On the efficiency of a semi-parametric GARCH model
• Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
• Consistent non-Gaussian pseudo maximum likelihood estimators
• Estimation of a semiparametric IGARCH(1,1) model
• Semiparametric score driven volatility models
• Semiparametric GARCH via Bayesian Model Averaging
• Inference for Box-Cox transformed threshold GARCH models with nuisance parameters
• Semi- and nonparametric ARCH processes
• 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
• Spline estimation of a semiparametric GARCH model
• Residual-based rank specification tests for AR-GARCH type models
• Semiparametric inference in a GARCH-in-mean model
• Semiparametric efficient adaptive estimation of the GJR-GARCH model
• A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models

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