Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models - MaRDI portal

Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models (Q2454005)

From MaRDI portal

Jump to:navigation, search

scientific article

Language	Label	Description	Also known as
English	Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models	scientific article

Statements

scholarly article

0 references

Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models (English)

0 references

0 references

0 references

Statistics \& Probability Letters

0 references

publication date

12 June 2014

0 references

full work available at URL

https://strathprints.strath.ac.uk/49282/

0 references

zbMATH Keywords

NM-QMLE

0 references

consistency

0 references

MaRDI profile type

MaRDI publication profile

0 references

Minimum Hellinger distance estimates for parametric models

0 references

The efficiency of the estimators of the parameters in GARCH processes.

0 references

GARCH processes: structure and estimation

0 references

Generalized autoregressive conditional heteroscedasticity

0 references

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

0 references

Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

0 references

Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models

0 references

NM-QELE for ARMA-GARCH models with non-Gaussian innovations

0 references

Inference in Arch and Garch Models with Heavy-Tailed Errors

0 references

Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations

0 references

Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes

0 references

Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.

0 references

Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

0 references

ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH

0 references

0 references

Testing Statistical Hypotheses

0 references

ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS

0 references

Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

0 references

Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.

0 references

Estimation and tests for power-transformed and threshold GARCH models

0 references

Maximum Likelihood Estimation of Misspecified Models

0 references

On a Mixture GARCH Time-Series Model

0 references

Identifiers

zbMATH Open document ID

0 references

Mathematics Subject Classification ID

0 references

0 references

zbMATH DE Number

0 references

0 references

10.1016/J.SPL.2014.03.027

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2454005

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q2454005&oldid=39093916"