Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
暂无分享,去创建一个
[1] Ke Zhu,et al. A mixed portmanteau test for ARMA‐GARCH models by the quasi‐maximum exponential likelihood estimation approach , 2013 .
[2] A. Gangopadhyay,et al. On the Efficiency of a Semi�?Parametric GARCH Model , 2011 .
[3] Walter Zucchini,et al. Model Selection , 2011, International Encyclopedia of Statistical Science.
[4] C. Francq,et al. Optimal predictions of powers of conditionally heteroscedastic processes , 2013 .
[5] Richard A. Davis,et al. Handbook of Financial Time Series , 2009 .
[6] O. Wintenberger,et al. ASYMPTOTIC NORMALITY OF THE QUASI MAXIMUM LIKELIHOOD ESTIMATOR FOR MULTIDIMENSIONAL CAUSAL PROCESSES , 2007, 0712.0679.
[7] Shiqing Ling,et al. Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models , 2007 .
[8] H. Leeb,et al. CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS? , 2003, Econometric Theory.
[9] Xiaohong Chen. Chapter 76 Large Sample Sieve Estimation of Semi-Nonparametric Models , 2007 .
[10] K. Mukherjee. Pseudo‐likelihood estimation in ARCH models , 2006 .
[11] J. Zakoian,et al. Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes , 2004 .
[12] I. Berkes,et al. The efficiency of the estimators of the parameters in GARCH processes , 2004, math/0406432.
[13] Shiqing Ling,et al. Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models , 2003 .
[14] Piotr Kokoszka,et al. GARCH processes: structure and estimation , 2003 .
[15] Michael McAleer,et al. On Adaptive Estimation in Nonstationary Arma Models with Garch Errors , 2003 .
[16] Qiwei Yao,et al. Inference in ARCH and GARCH models with heavy-tailed errors , 2003 .
[17] C. Klaassen,et al. Efficient Estimation in Semiparametric GARCH Models , 1997 .
[18] R. Lumsdaine,et al. Consistency and Asymptotic Normality of the Quasi-maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models , 1996 .
[19] Bruce E. Hansen,et al. Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator , 1994, Econometric Theory.
[20] Peter E. Rossi,et al. Stock Prices and Volume , 1992 .
[21] R. Engle,et al. Semiparametric ARCH Models , 1991 .
[22] A. Gallant,et al. Semi-nonparametric Maximum Likelihood Estimation , 1987 .
[23] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[24] A. A. Weiss. ARMA MODELS WITH ARCH ERRORS , 1984 .
[25] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[26] G. Crawford,et al. NON-PARAMETRIC MAXIMUM LIKELIHOOD ESTIMATION , 1963 .