A Weighted Linear Estimator of Multivariate ARCH Parameters

DOI10.1080/03610918.2010.546544zbMath1217.62074OpenAlexW2094950583MaRDI QIDQ3015866

Farhat Iqbal

Publication date: 13 July 2011

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2010.546544

zbMATH Keywords

VaRweighted resampling

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Cites Work

• Estimating multivariate ARCH parameters by two-stage least-squares method
• Generalized bootstrap for estimating equations
• Generalized autoregressive conditional heteroscedasticity
• Bootstrapping a weighted linear estimator �of the ARCH parameters
• ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
• The Multivariate Portmanteau Statistic
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Analysis of Financial Time Series

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