Whittle estimation in a heavy-tailed GARCH(1,1) model.

DOI10.1016/S0304-4149(02)00097-2zbMath1057.62072MaRDI QIDQ1766031

Daniel Straumann, Thomas Mikosch

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

heavy tailsWhittle estimationGARCH processesstable limit distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (13)

A note on estimation of \(\alpha\)-stable CARMA processes sampled at low frequencies ⋮ Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models ⋮ Asymptotic Behavior of Conditional Least Squares Estimators for Unstable Integer-valued Autoregressive Models of Order 2 ⋮ Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE ⋮ Asymptotic behavior of CLS estimators for 2-type doubly symmetric critical Galton-Watson processes with immigration ⋮ Test for the existence of finite moments via bootstrap ⋮ Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate ⋮ On the efficiency of a semi‐parametric GARCH model ⋮ ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS ⋮ Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models ⋮ Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation ⋮ QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS ⋮ Whittle estimation in multivariate CCC-GARCH processes

Uses Software

• itsmr

Cites Work

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