Estimation in conditionally heteroscedatic time series models.
From MaRDI portal
Publication:2386889
DOI10.1007/b138400zbMath1086.62103OpenAlexW552609MaRDI QIDQ2386889
Publication date: 25 August 2005
Published in: Lecture Notes in Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/b138400
parameter estimationasymptotic propertiestime seriesmaximum likelihood estimatorGARCHvolatilitymisspecificationWhittle estimatorquasi maximum likelihoodheavy tailedconditionally heteroscedasticStudent innovations
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Economic time series analysis (91B84)
Related Items (66)
On Fréchet autoregressive conditional duration models ⋮ Joint and marginal specification tests for conditional mean and variance models ⋮ Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models ⋮ Whittle estimation of EGARCH and other exponential volatility models ⋮ Noise inference for ergodic Lévy driven SDE ⋮ GARCH-type factor model ⋮ Asymptotics for parametric GARCH-in-mean models ⋮ Semiparametric modeling of multiple quantiles ⋮ Tails of bivariate stochastic recurrence equation with triangular matrices ⋮ Limit Theory for the QMLE of the GQARCH (1,1) Model ⋮ A Model Specification Test For GARCH(1,1) Processes ⋮ CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH ⋮ Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero ⋮ A CLT for martingale transforms with infinite variance ⋮ Linking Tukey's legacy to financial risk measurement ⋮ Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach ⋮ Contrast estimation of time-varying infinite memory processes ⋮ Quasi-maximum likelihood estimation of GARCH with student distributed noise ⋮ On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series ⋮ Nonstationary GARCH with \(t\)-distributed innovations ⋮ Tail indices for \(AX+B\) recursion with triangular matrices ⋮ On the estimation and diagnostic checking of the ARFIMA-HYGARCH model ⋮ Estimating GARCH models: when to use what? ⋮ Stochastic properties of nonlinear locally-nonstationary filters ⋮ Estimation and testing for a Poisson autoregressive model ⋮ Normalized least-squares estimation in time-varying ARCH models ⋮ A new estimator for LARCH processes ⋮ A note on the QMLE limit theory in the non-stationary ARCH(1) model ⋮ Inference for asymmetric exponentially weighted moving average models ⋮ Weak law of large numbers for linear processes ⋮ Spectral estimation in the presence of missing data ⋮ Statistical inference for non-stationary GARCH(\(p\),\(q\)) models ⋮ Componentwise different tail solutions for bivariate stochastic recurrence equations with application to ${\rm GARCH}(1,1)$ processes ⋮ Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model ⋮ Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach ⋮ Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate ⋮ Likelihood inference for discriminating between long‐memory and change‐point models ⋮ Least squares estimation of ARCH models with missing observations ⋮ Feasible optimum Godambe scores for a semi-parametric GARCH time series ⋮ Feasible invertibility conditions and maximum likelihood estimation for observation-driven models ⋮ ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS ⋮ Non-ergodic martingale estimating functions and related asymptotics ⋮ Nonlinear time series modeling and forecasting for periodic and arch effects ⋮ ROBUST FITTING OF INARCH MODELS ⋮ ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS ⋮ Stable limits for sums of dependent infinite variance random variables ⋮ Nonlinear least squares estimation of Log-ACD models ⋮ Unnamed Item ⋮ APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS ⋮ Modelling Multivariate Volatilities via Conditionally Uncorrelated Components ⋮ QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS ⋮ Saddlepoint approximations for the doubly noncentral \(t\) distribution ⋮ On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity ⋮ Structure and estimation of a class of nonstationary yet nonexplosive GARCH models ⋮ M-estimate for the stationary hyperbolic GARCH models ⋮ Affine stochastic equation with triangular matrices ⋮ STATISTICAL INFERENCE FOR MEASUREMENT EQUATION SELECTION IN THE LOG-REALGARCH MODEL ⋮ TESTING GARCH-X TYPE MODELS ⋮ Asymmetric COGARCH processes ⋮ Accelerating score-driven time series models ⋮ On the existence of strongly consistent indirect estimators when the binding function is compact valued ⋮ Integer‐valued asymmetric garch modeling ⋮ Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model ⋮ Multivariate time series models for mixed data ⋮ A time-varying parameter model for local explosions ⋮ Maximum likelihood estimation for score-driven models
This page was built for publication: Estimation in conditionally heteroscedatic time series models.
