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~institution:"Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München"
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ARMA-GARCH model
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ARMA–GARCH/IGARCH model
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LAD estimator
1
asymptotic normality
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global selfweighted/local quasi-maximum exponential likelihood estimator
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mixed portmanteau test
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model diagnostics
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quasi-maximum exponential likelihood estimator
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strong consistency
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Zhu, Ke
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Ling, Shiqing
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Center for Economic and Financial Research (CEFIR), New Economic School (NES)
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Department Volkswirtschaftlehre, Universität Bern
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Department of Economics and Business, Universitat Pompeu Fabra
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Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS)
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Department of Economics, Boston College
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Department of Economics, University of California-San Diego (UCSD)
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Econometric Society
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Fakultät für Wirtschaftswissenschaften, Karlsruhe Institut für Technologie
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School of Economics and Business Administration, University of Navarra
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1
A mixed portmanteau test for
ARMA-GARCH
model by the quasi-maximum exponential likelihood estimation approach
Zhu, Ke
-
Volkswirtschaftliche Fakultät, …
-
2012
residual autocorrelation functions of
ARMA-GARCH
model. This leads a mixed portmanteau test for diagnostic checking of the
ARMA-GARCH
…
Persistent link: https://www.econbiz.de/10011114154
Saved in:
2
Global self-weighted and local quasi-maximum exponential likelihood estimators for
ARMA-GARCH
/IGARCH models
Zhu, Ke
;
Ling, Shiqing
-
Volkswirtschaftliche Fakultät, …
-
2013
This paper investigates the asymptotic theory of the quasi-maximum exponential likelihood estimators (QMELE) for
ARMA–GARCH
…
Persistent link: https://www.econbiz.de/10011258082
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