ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS

By Dennis Kristensen, Anders Rahbek. Econometric Theory, 2005

74 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ef9fd989032cd9f8163adb734ed7e75883f69093

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

Citations in the corpus

ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL (2009, methodology): “In this case, as was shown in Kristensen and Rahbek (2005) for the univariate ARCH model, the second stage is not needed because the LLN can be applied directly to the sample likelihood function and its derivatives.”
QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES (2015, background): “Kristensen and Rahbek (2005) derived the asymptotic properties of the QMLE for a wide class of ARCH models in which the volatility of the observed process yt depends on a covariate xt−1.”
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.”
PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS (2011, unknown): “Estimation in nonlinear pure ARCH, but not GARCH, models is considered by Kristensen and Rahbek (2005, 2009).”
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY (2010, unknown): “As is well known in the wild bootstrap literature (see Davidson and Flachaire, 2001, for a review) in certain cases improved accuracy can be obtained by replacing the Gaussian distribution used for generating the pseudo-data by an asymmetric distribution with E (wt) = 0, E (w 2 t ) = 1 and E (w 3 t ”
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].”
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates (2013, methodology): “Kristensen and Rahbek (2005) provided theoretical results for the QMLE in the linear ARCH-X models in the case of stationary regressors.”