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Author : Yingfu Xie
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (185 download)
Download or read book Consistency of Quasi-maximum Likelihood Estimators for the Regime-switching GARCH Models written by Yingfu Xie and published by . This book was released on 2005 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yingfu Xie
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (185 download)
Download or read book Consistency of Quasi-maximum Likelihood Estimators for the Reduced Regime-switching GARCH Models written by Yingfu Xie and published by . This book was released on 2005 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Whitney K. Newey
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (859 download)
Download or read book Consistency of Quasi Maximum Likelihood Estimators for Models with Conditional Heteroscedasticity written by Whitney K. Newey and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Whitney K. Newey
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Consistency of Quasi-Maximum Likelihood Estimators for Models with Conditional Heteroskedasticity written by Whitney K. Newey and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Virtually all empirical studies that assume a time-varying conditional variance use a quasi-maximum likelihood estimator (QMLE). If the density from which the likelihood is constructed is assumed to be Gaussian, the QMLE is known to be consistent under correct specification of both the conditional mean and conditional variance. We show that if both the assumed density and the true density are symmetric a QMLE remains consistent. If, however, either the assumed density or the true density is asymmetric, a QMLE is generally not consistent. To ensure that a QMLE is consistent under asymmetric densities, we include the conditional standard deviation as a regressor. We calculate the efficiency loss associated with the added regressor if the densities are symmetric and show that for a QMLE of the conditional variance parameters of a GARCH process there is no efficiency loss. Finally, we develop a test of consistency of a QMLE from the significance of the additional regressor.
Author : L. Bauwens
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (897 download)
Download or read book On the Weak Consistency of the Quasi-maximum Likelihood Estimator in Var Models with Bekkk-Garch (1,q) Errors written by L. Bauwens and published by . This book was released on 1995 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Juan Carlos Escanciano
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Quasi-Maximum Likelihood Estimation of Semi-Strong GARCH Models written by Juan Carlos Escanciano and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This note proves the consistency and asymptotic normality of the Quasi-Maximum Likelihood Estimator (QMLE) of the parameters of a GARCH model with martingale difference centered squared innovations. The results are obtained under mild conditions and generalize and improve those in Lee and Hansen (1994) for the local QMLE in semi-strong GARCH(1,1) models. In particular, no restrictions on the conditional mean are imposed. Our proofs closely follow those in Francq and Zakoian (2004) for independent and identically distributed innovations.
Author : Luc Bauwens
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (35 download)
Download or read book On the Weak Consistency of the Quasi-maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors written by Luc Bauwens and published by . This book was released on 1995 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jianqing Fan
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Quasi Maximum Likelihood Estimation of GARCH Models with Heavy-Tailed Likelihoods written by Jianqing Fan and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The non-Gaussian maximum likelihood estimator is frequently used in GARCH models with the intention of capturing the heavy-tailed returns. However, unless the parametric likelihood family contains the true likelihood, the estimator is inconsistent due to density misspecification. To correct this bias, we identify an unknown scale parameter that is critical to the identification, and propose a two-step quasi maximum likelihood procedure with non-Gaussian likelihood functions. This novel approach is consistent and asymptotically normal under weak moment conditions. Moreover, it achieves better efficiency than the Gaussian alternative, particularly when the innovation error has heavy tails. We also summarize and compare the values of the scale parameter and the asymptotic efficiency for estimators based on different choices of likelihood functions with an increasing level of heaviness in the innovation tails. Numerical studies confirm the advantages of the proposed approach.
Author : Xiaorui Zhu
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (13 download)
Download or read book Adaptive Quasi-Maximum Likelihood Estimation of GARCH Models with Student's T Likelihood written by Xiaorui Zhu and published by . This book was released on 2016 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pak-Hang Lo
Publisher :
ISBN 13 : 9781361333310
Total Pages : pages
Book Rating : 4.3/5 (333 download)
Download or read book On a Buffered Conditional Volatility Process written by Pak-Hang Lo and published by . This book was released on 2017-01-26 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "On a Buffered Conditional Volatility Process" by Pak-hang, Lo, 勞柏衡, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: The traditional threshold time series model is famous for its capability in capturing asymmetry. Regime switching takes place immediately when a certain variable crosses the threshold. However, this type of model may not be suitable for data which have no clear cut between regimes. A new generation of threshold type model, buffered time series model, is modified from the traditional threshold time series model. A buffer zone is introduced to replace the role of the threshold; regime switching will not take place within the buffer zone. The regime switching mechanism mimicks a climatological example and the buffered model may be suitable for data in which there is a region where the probabilistic structure of the data is insensitive to changes. Self-exciting buffered generalized autoregressive conditional heteroscedasticity (buffered GARCH) model is considered. Quasi-maximum likelihood is employed for parameter estimation. Strong consistency and asymptotic distributions are derived. Simulation experiments are carried out to verify the properties of the estimators. The buffered GARCH model is applied to two currency exchange rate data sets, US dollar to Moroccan dirham exchange rate and US dollar to Israeli new shekel exchange rate. At the same time, threshold GARCH model is also applied to the data sets in order to have comparison between the buffered GARCH model and threshold GARCH model. It is found that the buffered GARCH model beats the threshold GARCH model in terms of one information criterion, revealing that the buffered GARCH model may have advantage over the threshold GARCH model. DOI: 10.5353/th_b5177344 Subjects: Time-series analysis
Author : Yingfu Xie
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (186 download)
Download or read book Quasi-maximum Likelihood Estimators in GARCH(1,2) Model written by Yingfu Xie and published by . This book was released on 2003 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Felix Chan
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (721 download)
Download or read book Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors written by Felix Chan and published by . This book was released on 2010 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dong Li
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book On the Three-Step Non-Gaussian Quasi-Maximum Likelihood Estimation of Heavy-Tailed Double Autoregressive Models written by Dong Li and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This note considers a three-step non-Gaussian quasi-maximum likelihood estimation (TS-NGQMLE) of the double autoregressive model with its asymptotics, which improves efficiency of the GQMLE and circumvents inconsistency of the NGQMLE when the innovation is heavy-tailed. Under mild conditions, the estimator not only can achieve consistency and asymptotic normality regardless of density misspecification of the innovation, but also outperforms the existing estimators, such as the GQMLE and the (weighted) least absolute deviation estimator, when the innovation is indeed heavy-tailed.
Author : Kevin D. Hoover
Publisher : Springer Science & Business Media
ISBN 13 : 940110669X
Total Pages : 575 pages
Book Rating : 4.4/5 (11 download)
Download or read book Macroeconometrics written by Kevin D. Hoover and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 575 pages. Available in PDF, EPUB and Kindle. Book excerpt: Each chapter of Macroeconometrics is written by respected econometricians in order to provide useful information and perspectives for those who wish to apply econometrics in macroeconomics. The chapters are all written with clear methodological perspectives, making the virtues and limitations of particular econometric approaches accessible to a general readership familiar with applied macroeconomics. The real tensions in macroeconometrics are revealed by the critical comments from different econometricians, having an alternative perspective, which follow each chapter.
Author : Gabriele Fiorentini
Publisher :
ISBN 13 :
Total Pages : 73 pages
Book Rating : 4.:/5 (129 download)
Download or read book Consistent Non-Gausian Pseudo Maximum Likelihood Estimators written by Gabriele Fiorentini and published by . This book was released on 2018 with total page 73 pages. Available in PDF, EPUB and Kindle. Book excerpt: We characterise the mean and variance parameters that distributionally misspecified maximum likelihood estimators can consistently estimate in multivariate conditionally heteroskedastic dynamic regression models. We also provide simple closed-form consistent estimators for the rest. The inclusion of means and the explicit coverage of multivariate models make our procedures useful not only for GARCH models but also in many empirically relevant macro and finance applications involving VARs and multivariate regressions. We study the statistical properties of our proposed consistent estimators, as well as their efficiency relative to Gaussian pseudo maximum likelihood procedures. Finally, we provide finite sample results through Monte Carlo simulations.
Author : Tim Bollerslev
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (194 download)
Download or read book Quasi-maximum Likelihood Estimation of Dynamic Models with Time Varying Covariances written by Tim Bollerslev and published by . This book was released on 1988 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jürgen Franke
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (863 download)
Download or read book Maximum Likelihood Estimators for Markov Switching Autoregressive Processes with ARCH Component written by Jürgen Franke and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
