Adaptive quasi-maximum likelihood estimation of GARCH models with Student’stlikelihood

DOI10.1080/03610926.2014.957852zbMath1356.62160OpenAlexW232118361MaRDI QIDQ2830196

Xiaorui Zhu, Li Xie

Publication date: 9 November 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.957852

zbMATH Keywords

adaptive estimatorquasi likelihoodGARCH modelheavy-tailed error

Mathematics Subject Classification ID

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

Cites Work

• Semiparametric efficient adaptive estimation of asymmetric GARCH models
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• Quasi-maximum likelihood estimation of volatility with high frequency data
• Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
• Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
• Stationarity of GARCH processes and of some nonnegative time series
• Adaptive estimation in time-series models
• GARCH processes: structure and estimation
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Generalized autoregressive conditional heteroscedasticity
• Least absolute deviations estimation for ARCH and GARCH models
• A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
• Maximum Likelihood Estimation of Misspecified Models

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