Empirical likelihood test for the application of swqmele in fitting an arma‐garch model

DOI10.1111/jtsa.12563zbMath1468.62350OpenAlexW3090018756MaRDI QIDQ4997696

Rong Mao Zhang, Mo Zhou, Liang Peng

Publication date: 30 June 2021

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12563

zbMATH Keywords

empirical likelihoodARMA-GARCH modelquasi-maximum likelihood estimationself-weighted quasi maximum exponential likelihood estimation (SWQMELE)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Functional limit theorems; invariance principles (60F17)

Related Items (1)

Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference

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