Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation

DOI10.1016/J.MATCOM.2010.05.023zbMath1215.62092OpenAlexW2005430848MaRDI QIDQ543456

Felix T. S. Chan, Billy Theoharakis

Publication date: 17 June 2011

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2010.05.023

zbMATH Keywords

Monte Carlo simulationre-parameterization

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (1)

Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models

Cites Work

• Unnamed Item
• Generalized autoregressive conditional heteroscedasticity
• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

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