This paper investigates the asymptotic theory of the quasi-maximum exponential likelihood estimators (QMELE) for ARMA–GARCH models. Under only a fractional moment condition, the strong consistency and the asymptotic normality of the global self-weighted QMELE are obtained. Based on this...

type="main" xml:id="jtsa12092-abs-0001"It is well known that estimating bilinear models is quite challenging. Many different ideas have been proposed to solve this problem. However, there is not a simple way to do inference even for its simple cases. This article proposes a generalized...

Least squares (LS) and maximum likelihood (ML) estimation are considered for unit root processes with GARCH (1, 1) errors. The asymptotic distributions of LS and ML estimators are derived under the condition α + β  1. The former has the usual unit root distribution and the latter is a...

This paper first derives the limiting distributions of the residual and the squared residual autocorrelation functions of the nonstationary autoregressive moving-average model, respectively. We then use them to construct two portmanteau statistics for testing the adequacy of the fitted model....

This paper investigates a class of multiple-threshold models, called Multiple Threshold Double AR (MTDAR) models. A sufficient condition is obtained for the existence and uniqueness of a strictly stationary and ergodic solution to the first-order MTDAR model. We study the Quasi-Maximum...

This paper studies the asymptotic theory of least squares estimation in a threshold moving average model. Under some mild conditions, it is shown that the estimator of the threshold is <italic>n</italic>-consistent and its limiting distribution is related to a two-sided compound Poisson process, whereas the...

This paper investigates the global self-weighted least absolute deviation (SLAD) estimator for finite and infinite variance ARMA(<italic>p</italic>, <italic>q</italic>) models. The strong consistency and asymptotic normality of the global SLAD estimator are obtained. A simulation study is carried out to assess the performance of...

This paper considers the short- and long-memory linear processes with GARCH (1,1) noises. The functional limit distributions of the partial sum and the sample autocovariances are derived when the tail index α is in (0,2), equal to 2, and in (2,∞), respectively. The partial sum weakly...

Assume that S_{t} is a stock price process and Bt is a bond price process with a constant continuously compounded risk-free interest rate, where both are defined on an appropriate probability space P. Let y_{t} = log(S_{t}/S_{t-1}). y_{t} can be generally decomposed into a conditional mean plus...