On a vector double autoregressive model

DOI10.1016/j.spl.2017.05.002zbMath1457.62284OpenAlexW2617907317MaRDI QIDQ1687197

Huafeng Zhu, Xin Liang, XingFa Zhang, Yu'an Li

Publication date: 22 December 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.05.002

zbMATH Keywords

quasi maximum likelihood estimatorvector double autoregressive model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Bayesian inference for a mixture double autoregressive model ⋮ On an asymmetric functional-coefficient ARCH-M model

Cites Work

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• Structure of a double autoregressive process driven by a hidden Markov chain
• A class of threshold autoregressive conditional heteroscedastic models
• Asymptotic inference in multiple-threshold double autoregressive models
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• NON-STATIONARITY AND QUASI-MAXIMUM LIKELIHOOD ESTIMATION ON A DOUBLE AUTOREGRESSIVE MODEL
• Asymptotic inference for a nonstationary double AR(1) model
• A note on diagnostic checking of the double autoregressive model
• Estimation and Testing Stationarity for Double-Autoregressive Models
• Quantile Double AR Time Series Models for Financial Returns
• \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.

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