Two‐Step Estimation for Time Varying Arch Models

DOI10.1111/jtsa.12522zbMath1450.62037OpenAlexW3004646247MaRDI QIDQ5121011

Yuanyuan Zhang, Rong Liu, Qin Shao

Publication date: 16 September 2020

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

Full work available at URL: https://doi.org/10.1111/jtsa.12522

zbMATH Keywords

asymptotic normalitymaximum likelihoodleast squaresB-splineoracle efficiencyautoregressive conditional heteroskedasticity (ARCH) model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Numerical computation using splines (65D07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

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