A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models

DOI10.1080/00949655.2013.812092zbMath1457.62279OpenAlexW1991208432MaRDI QIDQ5220713

Taewook Lee, Byungtae Seo

Publication date: 27 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2013.812092

zbMATH Keywords

value-at-riskGARCH modelnonparametric MLEestimated maximum likelihood estimator

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)

Related Items (2)

Semiparametric mixture: continuous scale mixture approach ⋮ Accelerated failure time modeling via nonparametric mixtures

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Semiparametric efficient adaptive estimation of asymmetric GARCH models
• NM-QELE for ARMA-GARCH models with non-Gaussian innovations
• Bayesian estimation of the Gaussian mixture GARCH model
• Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations
• The geometry of mixture likelihoods: A general theory
• Numerical estimation of a probability measure
• A vertex-exchange-method in D-optimal design theory
• Consistent estimation of a mixing distribution
• How broad is the class of normal scale mixtures?
• Adaptive estimation in time-series models
• GARCH processes: structure and estimation
• On adaptive estimation in nonstationary ARMA models with GARCH errors
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations
• Generalized autoregressive conditional heteroscedasticity
• The efficiency of the estimators of the parameters in GARCH processes.
• Existence of a normal scale mixture with a given variance and a percentile
• Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameters
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• On the Mixture of Distributions
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• An Algorithm for Computing the Nonparametric MLE of a Mixing Distribution
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On Fast Computation of the Non-Parametric Maximum Likelihood Estimate of a Mixing Distribution
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Infinite Divisibility and Variance Mixtures of the Normal Distribution

This page was built for publication: A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models