On the estimation of \(\beta\)-ARCH models

DOI10.1016/S0167-7152(99)00070-XzbMath0951.62077MaRDI QIDQ1808683

Ouagnina Hili

Publication date: 3 January 2001

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

zbMATH Keywords

consistencyalpha-mixingasymptotic normalityHellinger distanceMarkov chaininvertibilitystationarityexistence of momentsbeta-ARCH modelparametric kernel density estimate

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

Related Items (9)

Higher-order asymptotic properties of QML in \(\beta \)-ARCH and \(\mu \)-ARCH models ⋮ Hellinger distance estimation of nonlinear dynamical systems. ⋮ A new time domain estimation of \(k\)-factors GARMA processes ⋮ Hellinger distance estimates of long memory linear processes ⋮ Hellinger distance estimation of general bilinear time series models ⋮ Estimation of a multiple-threshold \(AR(p)\) model ⋮ Hellinger distance estimation of SSAR models ⋮ Minimum Hellinger Distance Estimation for Finite Mixtures of Poisson Regression Models and Its Applications ⋮ Minimum alpha-divergence estimation for arch models

Cites Work

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• Minimum Hellinger distance estimates for parametric models
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Cross-validation in density estimation
• On the estimation of nonlinear time series models
• Tail behaviour of the stationary density of general non-linear autoregressive processes of order 1

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