Least squares estimation of ARCH models with missing observations
暂无分享,去创建一个
[1] I. Ibragimov. A Central Limit Theorem for a Class of Dependent Random Variables , 1963 .
[2] D. Straumann. Estimation in Conditionally Herteroscedastic Time Series Models , 2004 .
[3] P. Billingsley,et al. The Lindeberg-Lévy theorem for martingales , 1961 .
[4] R. Leipus,et al. STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM , 2000, Econometric Theory.
[5] Oliver Linton,et al. A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL , 2006, Econometric Theory.
[6] Roderick J. A. Little,et al. Statistical Analysis with Missing Data: Little/Statistical Analysis with Missing Data , 2002 .
[7] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[8] Emanuel Parzen,et al. ON SPECTRAL ANALYSIS WITH MISSING OBSERVATIONS AND AMPLITUDE MODULATION , 1962 .
[9] Asymptotic distribution of parameter estimators for nonconsecutively observed time series , 1987 .
[10] Timo Teräsvirta,et al. FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS , 1999, Econometric Theory.
[11] Richard H. Jones,et al. SPECTRAL ANALYSIS WITH REGULARLY MISSED OBSERVATIONS , 1962 .
[12] J. Zakoian,et al. Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes , 2004 .
[13] Richard H. Jones,et al. Maximum Likelihood Fitting of ARMA Models to Time Series With Missing Observations , 1980 .
[14] Nicole A. Lazar,et al. Statistical Analysis With Missing Data , 2003, Technometrics.
[15] W. Dunsmuir,et al. ESTIMATION FOR STATIONARY TIME SERIES WHEN DATA ARE IRREGULARLY SPACED OR MISSING , 1981 .
[16] E. J. Hannan,et al. Central limit theorems for time series regression , 1973 .
[17] W. Dunsmuir. A central limit theorem for estimation in Gaussian stationary time series observed at unequally spaced times , 1983 .
[18] William T. M. Dunsmuir,et al. Asymptotic theory for time series containing missing and amplitude modulated observations , 1981 .
[19] A. Milhøj. The moment structure of ARCH processes , 1985 .
[20] Liudas Giraitis,et al. WHITTLE ESTIMATION OF ARCH MODELS , 2000, Econometric Theory.
[21] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[22] Emanuel Parzen,et al. SPECTRAL ANALYSIS OF ASYMPTOTICALLY STATIONARY TIME SERIES , 1961 .
[23] M. Loève. On Almost Sure Convergence , 1951 .
[24] H. Sakai. Fitting autoregression with regularly missed observations , 1980 .
[25] P. Robinson,et al. Parametric estimators for stationary time series with missing observations , 1981, Advances in Applied Probability.
[26] Perry A. Scheinok,et al. Spectral Analysis with Randomly Missed Observations: The Binomial Case , 1965 .
[27] P. Bloomfield. Spectral Analysis with Randomly Missing Observations , 1970 .
[28] Arup Bose,et al. ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS , 2003 .
[29] Piotr Kokoszka,et al. GARCH processes: structure and estimation , 2003 .