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Author : Kazuhiko Shinki
Publisher :
ISBN 13 :
Total Pages : 115 pages
Book Rating : 4.:/5 (694 download)
Download or read book Topics in Asymptotic Theory for Garch-type Models written by Kazuhiko Shinki and published by . This book was released on 2010 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Weiwei Liu
Publisher :
ISBN 13 :
Total Pages : 278 pages
Book Rating : 4.:/5 (16 download)
Download or read book Asymptotic Theory for GARCH-in-mean Models written by Weiwei Liu and published by . This book was released on 2013 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: The GARCH-in-mean process is an important extension of the standard GARCH (generalized autoregressive conditional heteroscedastic) process and it has wide applications in economics and finance. The parameter estimation of GARCH type models usually involves the quasi-maximum likelihood (QML) technique as it produces consistent and asymptotically Gaussian distributed estimators under certain regularity conditions. For a pure GARCH model, such conditions were already found with asymptotic properties of its QML estimator well understood. However, when it comes to GARCH-in-mean models those properties are still largely unknown. The focus of this work is to establish a set of conditions under which the QML estimator of GARCH-in-mean models will have the desired asymptotic properties. Some general Markov model tools are applied to derive the result.
Author : Christian M. Hafner
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (255 download)
Download or read book Asymptotic Theory for a Factor GARCH Model written by Christian M. Hafner and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Weibin Jiang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (16 download)
Download or read book Asymptotic Theory of General Multivariate GARCH Models written by Weibin Jiang and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Generalized autoregressive conditional heteroscedasticity (GARCH) models are widely used in financial markets. Parameters of GARCH models are usually estimated by the quasi-maximum likelihood estimator (QMLE). In recent years, economic theory often implies equilibrium between the levels of time series, which makes the application of multivariate models a necessity. Unfortunately the asymptotic theory of the multivariate GARCH models is far from coherent since many algorithms on the univariate case do not extend to multivariate models naturally. This thesis studies the asymptotic theory of the QMLE under mild conditions. We give some counterexamples for the parameter identifiability result in Jeantheau [1998] and provide a better necessary and sufficient condition. We prove the ergodicity of the conditional variance process on an application of theorems by Meyn and Tweedie [2009]. Under those conditions, the consistency and asymptotic normality of the QMLE can be proved by the standard compactness argument and Taylor expansion of the score function. We also give numeric example on verifying the assumptions and the scaling issue when estimating GARCH parameters in S+ FinMetrics.
Author : Francisco J Samaniego
Publisher : World Scientific
ISBN 13 : 9814458171
Total Pages : 479 pages
Book Rating : 4.8/5 (144 download)
Download or read book Nonparametric Statistical Methods And Related Topics: A Festschrift In Honor Of Professor P K Bhattacharya On The Occasion Of His 80th Birthday written by Francisco J Samaniego and published by World Scientific. This book was released on 2011-09-16 with total page 479 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume consists of 22 research papers by leading researchers in Probability and Statistics. Many of the papers are focused on themes that Professor Bhattacharya has published on research. Topics of special interest include nonparametric inference, nonparametric curve fitting, linear model theory, Bayesian nonparametrics, change point problems, time series analysis and asymptotic theory.This volume presents state-of-the-art research in statistical theory, with an emphasis on nonparametric inference, linear model theory, time series analysis and asymptotic theory. It will serve as a valuable reference to the statistics research community as well as to practitioners who utilize methodology in these areas of emphasis.
Author : Heejoon Han
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (839 download)
Download or read book Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-stationary Covariates written by Heejoon Han and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Conrad
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (13 download)
Download or read book Asymptotics for Parametric GARCH-in-Mean Models written by Christian Conrad and published by . This book was released on 2017 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we develop an asymptotic theory for the Quasi-Maximum Likelihood Estimator (QMLE) of the parametric GARCH-in-Mean model. The asymptotics is based on a study of the volatility as a process of the model parameters. The proof makes use of stochastic recurrence equations for this random function and uses exponential inequalities to localize the problem. Our results show why the asymptotics for this specification is quite complex although it is a rather standard parametric model. Nevertheless, our theory does not yet treat all standard specifications of the mean function.
Author : Christian Francq
Publisher : John Wiley & Sons
ISBN 13 : 1119957397
Total Pages : 469 pages
Book Rating : 4.1/5 (199 download)
Download or read book GARCH Models written by Christian Francq and published by John Wiley & Sons. This book was released on 2011-06-24 with total page 469 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation and tests. The book also provides coverage of several extensions such as asymmetric and multivariate models and looks at financial applications. Key features: Provides up-to-date coverage of the current research in the probability, statistics and econometric theory of GARCH models. Numerous illustrations and applications to real financial series are provided. Supporting website featuring R codes, Fortran programs and data sets. Presents a large collection of problems and exercises. This authoritative, state-of-the-art reference is ideal for graduate students, researchers and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.
Author : F. Comte
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (489 download)
Download or read book Asymptotic Theory for Multivariate GARCH Processes written by F. Comte and published by . This book was released on 2001 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ryoko Ito
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (947 download)
Download or read book Asymptotic Theory for Beta-t-GARCH written by Ryoko Ito and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : T. L. Lai
Publisher :
ISBN 13 :
Total Pages : 560 pages
Book Rating : 4.3/5 (91 download)
Download or read book Asymptotic Theory in Probability and Statistics with Applications written by T. L. Lai and published by . This book was released on 2008 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents a collection of 18 papers, many of which are surveys, on asymptotic theory in probability and statistics, with applications to a variety of problems. This volume comprises three parts: limit theorems, statistics and applications, and mathematical finance and insurance. It is suitable for graduate students in probability and statistics.
Author : Christian Francq
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (551 download)
Download or read book A Tour in the Asymptotic Theory of GARCH Estimation written by Christian Francq and published by . This book was released on 2008 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Manabu Asai
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (959 download)
Download or read book Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes written by Manabu Asai and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Oliver Linton
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (61 download)
Download or read book An Asymptotic Expansion in the Garch (1, 1) Model written by Oliver Linton and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Hafner
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book On Asymptotic Theory for Arch (∞) Models written by Christian Hafner and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Autoregressive conditional heteroskedasticity (ARCH)() models nest a wide range of ARCH and generalized ARCH models including models with long memory in volatility. Existing work assumes the existence of second moments. However, the fractionally integrated generalized ARCH model, one version of a long memory in volatility model, does not have finite second moments and rarely satisfies the moment conditions of the existing literature. This article weakens the moment assumptions of a general ARCH() class of models and develops the theory for consistency and asymptotic normality of the quasi-maximum likelihood estimator.
Author : Andrew A. Weiss
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (753 download)
Download or read book Asymptotic Theory for ARCH Models written by Andrew A. Weiss and published by . This book was released on 1982 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Niels Haldrup
Publisher : OUP Oxford
ISBN 13 : 0191669547
Total Pages : 393 pages
Book Rating : 4.1/5 (916 download)
Download or read book Essays in Nonlinear Time Series Econometrics written by Niels Haldrup and published by OUP Oxford. This book was released on 2014-06-26 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.
