Inference for random coefficient volatility models

DOI10.1016/j.spl.2012.07.008zbMath1471.62500OpenAlexW2082068183MaRDI QIDQ2231011

A. Thavaneswaran, You Liang, Julieta Frank

Publication date: 29 September 2021

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

Full work available at URL: https://doi.org/10.1016/j.spl.2012.07.008

zbMATH Keywords

informationnonlinear time seriesGARCH modelsestimating functionsRCA models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with discrete parameter (60G42) Nonparametric estimation (62G05)

Related Items (3)

Non-stationary quasi-likelihood and asymptotic optimality ⋮ Unnamed Item ⋮ Generalized duration models and optimal estimation using estimating functions

Cites Work

• Joint estimation using quadratic estimating function
• RCA models with GARCH innovations
• Prediction via estimating functions
• Transform martingale estimating functions
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Filtering and Smoothing Via Estimating Functions

This page was built for publication: Inference for random coefficient volatility models