Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models

By S. Ling. 2007

168 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/6074355e6cca82a14e660dc3917720f9cd6324c1

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

In Statistics and Probability

Citations in the corpus

LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises (2015, methodology): “These three inequalities are used without mentioned, and their proofs are given in Ling (2007) based on Assumption 1.”
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS (2011, unknown): “The moment conditions imposed on the derivatives of h∗t in Assumption N4(ii) are satisfied when the i.i.d. assumption holds and the conditional mean is modeled by a linear function and conditional variance by a standard linear GARCH(1,1) model (see Francq and Zakoı̈an, 2004; Ling, 2007).”
Delay times of sequential procedures for multiple time series regression models (2009, background): “4 includes the important class of ARMA-GARCH models that are frequently studied in econometrics (see Ling and Li (1998) and Ling (2007), for details).”
Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA–GARCH/IGARCH models (2011, methodology): “APPENDIX The Lemma A.1 below is from Ling (2007).”
Estimating multivariate volatility models equation by equation (2016, methodology): “We shall use Gaussian QML, but other methods could be considered as well (for instance the weighted QML studied by Ling (2007) and the non-Gaussian QML studied by Berkes and Horváth (2004)).”
Normalized least-squares estimation in time-varying ARCH models (2008, methodology): “We mention that the scheme and the asymptotic results derived here are also of independent interest and can be used to bootstrap stationary ARCH(p) processes [for a recent review on resampling and subsampling financial time series in the stationary context, see Paparoditis and Politis (2007)].”
QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS (2009, unknown): “Hall and Yao (2003) and Mikosch and Straumann (2002) discussed the case where E[sf] = oo; see also Linton et al. (2007). Lee and Hansen (1994) assumed that xt = E[ef \ Ft-i] < C < oo a.”
Asymptotic inference for a nonstationary double AR(1) model (2008, methodology): “This is the idea used by Ling (2007a) for the stationarity condition of the higher-order dar model.”
Merits and Drawbacks of Variance Targeting in GARCH Models (2011, methodology): “…estimation methods have been proposed for GARCH-type models (for instance the Lp-estimators of Horváth and Liese (2004), the self-weighted QMLE of Ling (2007)), QMLE can be recommended for at least two reasons: i) it is consistent under very mild conditions, in particular it is robust to the…”
QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES (2015, methodology): “The following lemma, which was obtained by Berkes, Horváth, and Kokoszka (2003) for standard GARCH and by Ling (2007) for ARMA-GARCH models, shows that A6 can be suppressed when (ηt ) is iid.”
EMPIRICAL LIKELIHOOD FOR GARCH MODELS (2006, background): “2 of Ling (2006) is repeated as follows.”
Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons (2009, background): “The same problem was encountered by Ling (2007).”
A Double AR(p) Model: Structure and Estimation (2007, unknown): “A similar result for a GARCH(r, s) model was established in Ling (2007).”
GARCH Models (2010, unknown): “…asymptotically normal estimator of the parameter ϕ0 = (ϑ ′0, θ ′0)′ of the ARMA-GARCH model (9.29) with weaker moment assumptions on the observed process, Ling (2007) proposed a self-weighted QMLE of the form ϕ̂n = arg min ϕ∈ n−1 n∑ t=1 ωt ̃t (ϕ), where ̃t (ϕ) = ̃2t (ϑ)/σ̃ 2t (ϕ)+ log σ̃ 2t (ϕ),…”
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero (2007, background): “Other estimation procedures which are not demanding in terms of unconditional moments have recently been suggested by Horváth and Liese [15] and Ling [18].”
Fitting an Error Distribution in Some Heteroscedastic Time Series Models (2006, methodology): “From Ling and Li (1997), it follows that under these conditions the model (3.”