Estimation and Asymptotic Inference in the AR-ARCH Model

DOI10.1080/07474938.2011.534031zbMath1209.62201OpenAlexW2083816184WikidataQ61915676 ScholiaQ61915676MaRDI QIDQ3086362

Theis Lange, Søren Tolver Jensen, Anders Rahbek

Publication date: 30 March 2011

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2011.534031

Mathematics Subject Classification ID

Related Items (10)

On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space ⋮ ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES ⋮ On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process ⋮ Oracally efficient estimation and testing for an ARCH model with trend ⋮ On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing ⋮ Synthetic learner: model-free inference on treatments over time ⋮ Bootstrap inference for Hawkes and general point processes ⋮ Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models ⋮ Specification testing in nonparametric AR‐ARCH models ⋮ A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS

Uses Software

• Ox

Cites Work

• Unnamed Item
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• Martingale Central Limit Theorems
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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