On adaptive estimation in nonstationary ARMA models with GARCH errors
Year of publication: |
2001
|
---|---|
Authors: | Ling, Shiqing ; MacAleer, Michael |
Publisher: |
Osaka : Osaka University, Institute of Social and Economic Research (ISER) |
Subject: | Schätztheorie | ARCH-Modell | Theorie | Adaptive estimation | Efficient estimation | Nonstationary ARMA-GARCH models | Kernel estimators | Limiting distribution | Locally asymptotic quadratic | Log-likelihood ratio |
Series: | ISER Discussion Paper ; 548 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 342610767 [GVK] hdl:10419/92859 [Handle] |
Source: |
-
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe, (2017)
-
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe, (2020)
-
Efficient estimation of the semiparametric spatial autoregressive model
Robinson, Peter M., (2007)
- More ...
-
A survey of recent theoretical results for time series models with GARCH errors
Li, W. K., (2001)
-
Asymptotic theory for a vector ARMA-GARCH model
Ling, Shiqing, (2001)
-
Stationarity and the existence of moments of a family of GARCH processes
Ling, Shiqing, (2001)
- More ...