Asymptotic optimality of estimating function estimator for CHARN model
type: Item
instance of: scholarly article
title: Asymptotic optimality of estimating function estimator for CHARN model
zbMATH Open document ID: 1248.91098
DOI: 10.1155/2012/515494
author: Tomoyuki Amano
published in: Advances in Decision Sciences
publication date: 2012-10-08T00:00:00Z
review text: Summary: CHARN model is a famous and important model in the finance, which includes many financial time series models and can be assumed as the return processes of assets. One of the most fundamental estimators for financial time series models is the conditional least squares (CL) estimator. However, recently, it was shown that the optimal estimating function estimator (G estimator) is better than CL estimator for some time series models in the sense of efficiency. In this paper, we examine efficiencies of CL and G estimators for CHARN model and derive the condition that G estimator is asymptotically optimal.
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 6092141
zbMATH Keywords: CHARN model
zbMATH Keywords: optimal estimating function estimator
Wikidata QID: Q58697803
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2012/515494
OpenAlex ID: W2163128757
cites work: Asymptotic efficiency of conditional least squares estimators for ARCH models
cites work: An Optimum Property of Regular Maximum Likelihood Estimation
cites work: The foundations of finite sample estimation in stochastic processes
cites work: Large Sample Properties of Generalized Method of Moments Estimators
cites work: Estimating functions for nonlinear time series models
cites work: Asymptotic efficiency of estimating function estimators for nonlinear time series models
cites work: Local polynomial estimators of the volatility function in nonparametric autoregression
cites work: Nonparametric vector autoregression
cites work: Estimating function approach for CHARN models
cites work: Estimation in nonlinear time series models
cites work: \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.
cites work: Q5598059
cites work: Q3288488
cites work: Statistical analysis for multiplicatively modulated nonlinear autoregressive model and its applications to electrophysiological signal analysis in humans
DBLP publication ID: journals/jamds/Amano12
description: scientific article; zbMATH DE number 6092141