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Structure and asymptotic theory for STAR(1)-GARCH(1,1) models
Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - 2005
of three different specifications of the first-order STAR-GARCH model, and sufficient conditions for the existence of …Nonlinear time series models, especially those with regime-switching and GARCH errors, have become increasingly popular …
Persistent link: https://www.econbiz.de/10011933956
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Structure and Asymptotic theory for Nonlinear Models with GARCH Errors
McAleer, Michael; Chan, Chan, F.; Medeiros, Medeiros, M.C. - Faculteit der Economische Wetenschappen, Erasmus … - 2011
- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10010837896
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Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors
Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - Department of Economics and Finance, College of … - 2010
- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10008765700
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Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors
Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - Institute of Economic Research, Kyoto University - 2010
- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10008774524
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Structure and Asymptotic theory for Nonlinear Models with GARCH Errors
Chan, F.; McAleer, M.J.; Medeiros, M.C. - Erasmus University Rotterdam, Econometric Institute - 2011
- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10008800914
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Structure and asymptotic theory for nonlinear models with GARCH errors
Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - In: EconomiA 16 (2015) 1, pp. 1-21
-Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10011858424
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Structure and asymptotic theory for nonlinear models with GARCH errors
Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - In: Economia : revista da ANPEC 16 (2015) 1, pp. 1-21
-Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10011865378
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Estimation of STAR-GARCH models with iteratively weighted least squares
Midiliç, Murat - In: Computational economics 55 (2020) 1, pp. 87-117
Persistent link: https://www.econbiz.de/10012222593
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Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation
Chan, Felix; Theoharakis, Billy - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1385-1396
-Generalized Autoregressive Conditional Heteroskedasticity (STAR-GARCH) can be problematic due to computational difficulties. Conventional … makes Quasi-Maximum Likelihood Estimator (QMLE) difficult to obtain for STAR-GARCH models in practice. Curiously, there has … STAR-GARCH using QMLE. The aim of the paper is to investigate the nature of the numerical difficulties using Monte Carlo …
Persistent link: https://www.econbiz.de/10010869931
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Nonstationary GARCH with tt-distributed innovations
Pedersen, Rasmus Søndergaard; Rahbek, Anders - In: Economics letters 138 (2016), pp. 19-21
Persistent link: https://www.econbiz.de/10011615340