Quasi-likelihood estimation in volatility models for semi-continuous time series

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes (62Mxx)

Cites Work

Title not available (Why is that?)
Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
A misspecification test for multiplicative error models of non-negative time series processes
Stationarity of GARCH processes and of some nonnegative time series
The rate of consistency of the quasi-maximum likelihood estimator.
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
Generalized autoregressive conditional heteroscedasticity
The efficiency of the estimators of the parameters in GARCH processes.
A bivariate shot noise self-exciting process for insurance
Infinitely stochastic micro reserving
Multivariate count autoregression
Modeling time series when some observations are zero
Limit results for the empirical process of squared residuals in GARCH models.
Handbook of discrete-valued time series
Poisson QMLE of count time series models
Exponential smoothing and non-negative data
Statistical Inference about Markov Chains
On Efficient Inference in GARCH Processes
Non-negative time series models for dry river flow
An Introduction to Regime Switching Time Series Models
A Two-Part Random-Effects Model for Semicontinuous Longitudinal Data
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS
A Note on Non‐Negative Arma Processes
FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING
Count Time Series: A Methodological Review
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Volatility Estimation When the Zero-Process is Nonstationary

This page was built for publication: Quasi-likelihood estimation in volatility models for semi-continuous time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6636843)