Two-step estimation for time varying ARCH models

DOI10.1111/JTSA.12522MaRDI QIDQ5121011zbMATH OpenOpenAlexFDO

Authors Yuanyuan Zhang, Rong Liu, Q. Shao, L. Yang

Publication date 16 September 2020

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12522

zbMATH Keywords

asymptotic normalityautoregressive conditional heteroskedasticity (ARCH) modelB-splineleast squaresmaximum likelihoodoracle efficiency

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical computation using splines (65D07)

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Cited in

(10)

• Kolmogorov-Smirnov simultaneous confidence bands for time series distribution function
• Normalized least-squares estimation in time-varying ARCH models
• Statistical inference for time-varying ARCH processes
• Finite-sample corrected inference for two-step GMM in time series
• Resampling procedure in estimation of optimal portfolios for time-varying ARCH processes
• A linear varying coefficient ARCH-M model with a latent variable
• Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form
• Extended Glivenko–Cantelli theorem and L₁ strong consistency of innovation density estimator for time-varying semiparametric ARCH model
• Inference and prediction for ARCH time series via innovation distribution function
• Oracally efficient estimation and consistent model selection for spatial ARMA process with bivariate trend

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