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Author : Hang Liu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (125 download)
Download or read book Robust Estimation for GARCH Models and VARMA Models written by Hang Liu and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Farhat Iqbal
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Robust Estimation for the Orthogonal GARCH Model written by Farhat Iqbal and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we propose a class of robust M-estimators for the orthogonal generalized autoregressive conditional heteroscedastic (GARCH) model. The method involves the estimation of only univariate GARCH models and hence easy to estimate and does not put additional constraints on the model. The forecasting performance of the class of robust estimators in predicting correlation and value-at-risk using various evaluation measures are investigated. We found empirical evidences of the better predictive potential of estimators such as least absolute deviation and B-estimator over the widely used quasi-maximum likelihood estimator when the error distribution is heavy-tailed and asymmetric. Applications to real data sets are also presented.
Author : X. Jiang
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (125 download)
Download or read book Efficient and Robust Estimation of GARCH Models written by X. Jiang and published by . This book was released on 2015 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: Generalized autoregressive conditional heteroscedastic (GARCH) models have been a powerful tool for modeling volatility. In this paper, we propose an efficient and robust method for estimating the parameters of GARCH models. This method involves a sequence of weights and takes a data-driven weighting scheme to maximize the asymptotic efficiency of the estimators. Under regularity conditions, we establish asymptotic distributions of the proposed estimators for a variety of heavy- or light-tailed error distributions. Simulations endorse our theoretical results. Our approach is applied to analyze the S&P 500 Composite index in the U.S. financial market and run some regression diagnostics to validate the fitted model.
Author : Kris Boudt
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Robust M-Estimation of Multivariate GARCH Models written by Kris Boudt and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In empirical work on multivariate financial time series, it is common to postulate a Multivariate GARCH model. We show that the popular Gaussian quasi-maximum likelihood estimator of MGARCH models is very sensitive to outliers in the data. We propose to use robust M-estimators and provide asymptotic theory for M-estimators of MGARCH models. The Monte Carlo study and empirical application document the good robustness properties of the M-estimator with a fat-tailed Student t loss function and volatility models with the property of bounded innovation propagation.
Author : Zaiqian Shen
Publisher :
ISBN 13 :
Total Pages : 212 pages
Book Rating : 4.:/5 (33 download)
Download or read book Robust Estimation in Semiparametric Models written by Zaiqian Shen and published by . This book was released on 1992 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jonathan B. Hill
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (13 download)
Download or read book Robust Estimation and Inference for Heavy Tailed GARCH. written by Jonathan B. Hill and published by . This book was released on 2014 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop two new estimators for a general class of stationary GARCH models with possibly heavy tailed asymmetrically distributed errors, covering processes with symmetric and asymmetric feedback like GARCH, Asymmetric GARCH, VGARCH and Quadratic GARCH. The first estimator arises from negligibly trimming QML criterion equations according to error extremes. The second imbeds negligibly transformed errors into QML score equations for a Method of Moments estimator. In this case we exploit a sub-class of redescending transforms that includes tail-trimming and functions popular in the robust estimation literature, and we re-center the transformed errors to minimize small sample bias. The negligible transforms allow both identification of the true parameter and asymptotic normality. We present a consistent estimator of the covariance matrix that permits classic inference without knowledge of the rate of convergence. A simulation study shows both of our estimators trump existing ones for sharpness and approximate normality including QML, Log-LAD, and two types of non-Gaussian QML (Laplace and Power-Law). Finally, we apply the tail-trimmed QML estimator to financial data.
Author : Jonathan B. Hill
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference written by Jonathan B. Hill and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We construct a Generalized Empirical Likelihood estimator for a GARCH(1,1) model with a possibly heavy tailed error. The estimator imbeds tail-trimmed estimating equations allowing for over-identifying conditions, asymptotic normality, efficiency and empirical likelihood based confidence regions for very heavy-tailed random volatility data. We show the implied probabilities from the tail-trimmed Continuously Updated Estimator elevate weight for usable large values, assign large but not maximum weight to extreme observations, and give the lowest weight to non-leverage points. Finally, we present robust versions of Generalized Empirical Likelihood Ratio, Wald, and Lagrange Multiplier tests, and an efficient and heavy tail robust moment estimator with an application to the estimation of a conditionally heteroscedastic asset's expected shortfall.
Author : Lianng Yuh
Publisher :
ISBN 13 :
Total Pages : 272 pages
Book Rating : 4.:/5 (24 download)
Download or read book Selection of Models and Adaptive Robust Estimation written by Lianng Yuh and published by . This book was released on 1984 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Claudia Becker
Publisher : Springer Science & Business Media
ISBN 13 : 3642354947
Total Pages : 377 pages
Book Rating : 4.6/5 (423 download)
Download or read book Robustness and Complex Data Structures written by Claudia Becker and published by Springer Science & Business Media. This book was released on 2014-07-08 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Festschrift in honour of Ursula Gather’s 60th birthday deals with modern topics in the field of robust statistical methods, especially for time series and regression analysis, and with statistical methods for complex data structures. The individual contributions of leading experts provide a textbook-style overview of the topic, supplemented by current research results and questions. The statistical theory and methods in this volume aim at the analysis of data which deviate from classical stringent model assumptions, which contain outlying values and/or have a complex structure. Written for researchers as well as master and PhD students with a good knowledge of statistics.
Author : Edward L. Price
Publisher :
ISBN 13 :
Total Pages : 196 pages
Book Rating : 4.:/5 (37 download)
Download or read book Robust Estimation by Stochastic Approximation and Error Models for Robust Procedures written by Edward L. Price and published by . This book was released on 1977 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William W. S. Wei
Publisher : John Wiley & Sons
ISBN 13 : 1119502853
Total Pages : 536 pages
Book Rating : 4.1/5 (195 download)
Download or read book Multivariate Time Series Analysis and Applications written by William W. S. Wei and published by John Wiley & Sons. This book was released on 2019-03-18 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential guide on high dimensional multivariate time series including all the latest topics from one of the leading experts in the field Following the highly successful and much lauded book, Time Series Analysis—Univariate and Multivariate Methods, this new work by William W.S. Wei focuses on high dimensional multivariate time series, and is illustrated with numerous high dimensional empirical time series. Beginning with the fundamentalconcepts and issues of multivariate time series analysis,this book covers many topics that are not found in general multivariate time series books. Some of these are repeated measurements, space-time series modelling, and dimension reduction. The book also looks at vector time series models, multivariate time series regression models, and principle component analysis of multivariate time series. Additionally, it provides readers with information on factor analysis of multivariate time series, multivariate GARCH models, and multivariate spectral analysis of time series. With the development of computers and the internet, we have increased potential for data exploration. In the next few years, dimension will become a more serious problem. Multivariate Time Series Analysis and its Applications provides some initial solutions, which may encourage the development of related software needed for the high dimensional multivariate time series analysis. Written by bestselling author and leading expert in the field Covers topics not yet explored in current multivariate books Features classroom tested material Written specifically for time series courses Multivariate Time Series Analysis and its Applications is designed for an advanced time series analysis course. It is a must-have for anyone studying time series analysis and is also relevant for students in economics, biostatistics, and engineering.
Author : Gustavo Fruet Dias
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (13 download)
Download or read book Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets written by Gustavo Fruet Dias and published by . This book was released on 2017 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We address the issue of modelling and forecasting macroeconomic variables using rich datasets by adopting the class of Vector Autoregressive Moving Average (VARMA) models. We overcome the estimation issue that arises with this class of models by implementing an iterative ordinary least squares (IOLS) estimator. We establish the consistency and asymptotic distribution of the estimator for weak and strong VARMA(p,q) models. Monte Carlo results show that IOLS is consistent and feasible for large systems, outperforming the MLE and other linear regression based efficient estimators under alternative scenarios. Our empirical application shows that VARMA models are feasible alternatives when forecasting with many predictors. We show that VARMA models outperform the AR(1), ARMA(1,1), Bayesian VAR, and factor models, considering different model dimensions.Supplement is available at: 'https://ssrn.com/abstract=2830838' https://ssrn.com/abstract=2830838.
Author : Raymond J. Carroll
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (227 download)
Download or read book Robust Estimation in Heteroscedastic Linear Models written by Raymond J. Carroll and published by . This book was released on 1981 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider a heteroscedastic linear model in which the variances are a parametric function of the mean responses and a parameter theta. We propose robust estimates for the regression parameter beta and show that, as long as a reasonable starting estimate of theta is available, our estimates of beta are asymptotically equivalent to the natural estimate obtained with known variances. A particular method for estimating theta is proposed and shown by Monte-Carlo to work quite well, especially in power and exponential models for the variances. We also briefly discuss a 'feedback' estimate of beta. (Author).
Download or read book Robust Estimation via Measurement Error Modeling written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce a new method to robustifying inference that can be applied in any situation where a parametric likelihood is available. The key feature is that data from the postulated parametric models are assumed to be measured with error where the measurement error distribution is chosen to produce the occasional gross errors found in data. We show that the tails of the error-contamination model control the properties (boundedness, redescendingness) of the resulting influence functions, with heavier tails in the error contamination model producing more robust estimators. In the application to location-scale models with independent and identically distributed data, the resulting analytically-intractable likelihoods are approximated via Monte Carlo integration. In the application to time series models, we propose a Bayesian approach to the robust estimation of time series parameters. We use Markov Chain Monte Carlo (MCMC) to estimate the parameters of interest and also the gross errors. The latter are used as outlier diagnostics.
Author : Qiong Wang
Publisher :
ISBN 13 :
Total Pages : 91 pages
Book Rating : 4.:/5 (623 download)
Download or read book Robust Estimation Via Measurement Error Modeling written by Qiong Wang and published by . This book was released on 2005 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt: Keywords: measurement error model, robust estimation, MCMC, Bayesian, influence function.
Author : Pavel Čížek
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (931 download)
Download or read book Robust Estimation and Moment Selection in Dynamic Fixed-effects Panel Data Models written by Pavel Čížek and published by . This book was released on 2015 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ka Wai Wong
Publisher :
ISBN 13 :
Total Pages : 98 pages
Book Rating : 4.:/5 (828 download)
Download or read book Robust Estimation for Generalized Additive Models written by Ka Wai Wong and published by . This book was released on 2010 with total page 98 pages. Available in PDF, EPUB and Kindle. Book excerpt:
