ASYMPTOTIC NORMALITY OF THE QMLE ESTIMATOR OF ARCH IN THE NONSTATIONARY CASE

By S. T. Jensen, Anders Rahbek. 2004

167 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/c822d061e9554bf71690d2eb711f097b8361edf0

How researchers see this paper

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

In Finance

1. Dong Li
2. Marcelo C. Medeiros
3. Oliver B. Linton
4. Álvaro Veiga
5. Hui Wang
6. Jiazhu Pan
7. Eric Zivot
8. S. Ling

In Statistics and Probability

1. Dong Li
2. Marcelo C. Medeiros
3. Álvaro Veiga
4. Oliver B. Linton
5. Jiazhu Pan
6. Eric Zivot
7. Hui Wang
8. S. Ling

Citations in the corpus

• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL (2009, background): “Finally, extending the results in Jensen and Rahbek (2004) for nonstationary ARCH models to the case of the FCGARCH model is not straightforward and is beyond the scope of this paper.”
• QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS (2009, unknown): “In view of Jensen and Rahbek (2004a, 2004b), we conjecture that our results are also valid for some nonstationary time series.”
• Exponential GARCH Modeling With Realized Measures of Volatility (2016, unknown): “It took more than two decades to establish several elementary results for some of the simplest models, see Boller-slev and Wooldridge (1992), Lee and Hansen (1994), Lumsdaine (1996), Jensen and Rahbek (2004), Straumann and Mikosch (2006), Kristensen and Rahbek (2005, 2009), and references therein.”
• ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS (2009, methodology): “Jensen and Rahbek (2004a, 2004b) were the first to consider the asymptotic theory of the QMLE for nonstationary ARCH/GARCH models.”
• GARCH Models (2010, unknown): “7.13 (Constrained QMLE of the parameter α0 of a nonstationary ARCH(1) process) Jensen and Rahbek (2004a) consider the ARCH(1) model (7.15), in which the parameter ω0 > 0 is assumed to be known (ω0 = 1 for instance) and where only α0 is unknown.”
• Asymptotic inference for a nonstationary double AR(1) model (2008, background): “This phenomenon was observed by Jensen & Rahbek (2004a) when they studied the nonstationary arch(1) model.”
• Practical Issues in the Analysis of Univariate GARCH Models (2009, background): “Unfortunately, verification of the appropriate regularity conditions has only been done for a limited number of simple GARCH models, see [63], [60], [55], [56] and [81].”
• A Double AR(p) Model: Structure and Estimation (2007, unknown): “For some impor- tant results on Engle’s ARCH models, we refer to Berkes, Horvath and Kokoszka (2003), Hall and Yao (2003), Francq and Zakölan (2004) and Jensen and Rahbek (2004).”