Semiparametric efficient adaptive estimation of asymmetric GARCH models

DOI10.1016/j.jeconom.2005.03.019zbMath1345.62122OpenAlexW2093106045MaRDI QIDQ274928

Yiguo Sun, Thanasis Stengos

Publication date: 25 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.03.019

zbMATH Keywords

asymmetric GARCHsemiparametric adaptive estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84)

Related Items (13)

Semiparametric efficient adaptive estimation of asymmetric GARCH models ⋮ Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameters ⋮ Semiparametric score driven volatility models ⋮ Semi- and nonparametric ARCH processes ⋮ On the efficiency of a semi‐parametric GARCH model ⋮ Semiparametric efficient adaptive estimation of the GJR-GARCH model ⋮ Semiparametric Time Series Models with Log‐concave Innovations: Maximum Likelihood Estimation and its Consistency ⋮ Consistent non-Gaussian pseudo maximum likelihood estimators ⋮ Semiparametric inference in a GARCH-in-mean model ⋮ A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models ⋮ SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL ⋮ Adaptive quasi-maximum likelihood estimation of GARCH models with Student’stlikelihood ⋮ Residual-based rank specification tests for AR-GARCH type models

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