scientific article; zbMATH DE number 7801175

MaRDI QIDQ6188569

Yu'an Li, Chunliang Deng, Li-Li Li, XingFa Zhang

Publication date: 7 February 2024

Full work available at URL: https://applmath.cjoe.ac.cn/jweb_yysxxb/EN/Y2022/V45/I5/652

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

high frequency dataGARCH modelquasi-maximum exponential likelihood estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12)

Cites Work

• Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
• Generalized autoregressive conditional heteroscedasticity
• Robust \(M\)-estimate of GJR model with high frequency data
• Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model
• Least absolute deviations estimation for ARCH and GARCH models
• Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
• Quasi-maximum exponential likelihood estimation for non-stationary GARCH$~\bf{(1,1)}$ models with high-frequency data
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