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Consistency and Asymptotic Normality of the Quasi-maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

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Cited by:

  1. LINTON, Olivier & PERRON, Benoît, 1999. "The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model," Cahiers de recherche 9911, Universite de Montreal, Departement de sciences economiques.
  2. E. Ruiz & M.A. Carnero & D. Pereira, 2004. "Effects of Level Outliers on the Identification and Estimation of GARCH Models," Econometric Society 2004 Australasian Meetings 21, Econometric Society.
  3. Meister, Alexander & Kreiß, Jens-Peter, 2016. "Statistical inference for nonparametric GARCH models," Stochastic Processes and their Applications, Elsevier, vol. 126(10), pages 3009-3040.
  4. Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2004. "LARCH, leverage, and long memory," LSE Research Online Documents on Economics 294, London School of Economics and Political Science, LSE Library.
  5. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
  6. Jones, Charles M. & Lamont, Owen & Lumsdaine, Robin L., 1998. "Macroeconomic news and bond market volatility," Journal of Financial Economics, Elsevier, vol. 47(3), pages 315-337, March.
  7. Berkes, István & Horváth, Lajos, 2003. "The rate of consistency of the quasi-maximum likelihood estimator," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 133-143, January.
  8. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
  9. Reeves, Jonathan J., 2005. "Bootstrap prediction intervals for ARCH models," International Journal of Forecasting, Elsevier, vol. 21(2), pages 237-248.
  10. Lombardi, Marco J. & Calzolari, Giorgio, 2009. "Indirect estimation of [alpha]-stable stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2298-2308, April.
  11. Francq, Christian & Zakoïan, Jean-Michel, 2015. "Risk-parameter estimation in volatility models," Journal of Econometrics, Elsevier, vol. 184(1), pages 158-173.
  12. Demos, Antonis & Sentana, Enrique, 1998. "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June.
  13. Marc Henry & Peter M Robinson, 1998. "Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in Econometric Theory, 15 (1999), pp.299-336.)," STICERD - Econometrics Paper Series 357, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  14. Aknouche, Abdelhakim & Al-Eid, Eid M. & Hmeid, Aboubakry M., 2011. "Offline and online weighted least squares estimation of nonstationary power ARCH processes," Statistics & Probability Letters, Elsevier, vol. 81(10), pages 1535-1540, October.
  15. repec:bgu:wpaper:0607 is not listed on IDEAS
  16. Linton, Oliver & Mammen, Enno, 2003. "Estimating semiparametric ARCH (8) models by kernel smoothing methods," LSE Research Online Documents on Economics 2187, London School of Economics and Political Science, LSE Library.
  17. Díaz, Antonio & Esparcia, Carlos, 2021. "Dynamic optimal portfolio choice under time-varying risk aversion," International Economics, Elsevier, vol. 166(C), pages 1-22.
  18. Han, Heejoon & Park, Joon Y., 2008. "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, vol. 146(2), pages 275-292, October.
  19. Andreou, Elena & Werker, Bas J.M., 2015. "Residual-based rank specification tests for AR–GARCH type models," Journal of Econometrics, Elsevier, vol. 185(2), pages 305-331.
  20. Niklas Ahlgren & Alexander Back & Timo Terasvirta, 2024. "A new GARCH model with a deterministic time-varying intercept," Papers 2410.03239, arXiv.org, revised Oct 2024.
  21. Conrad, Christian & Mammen, Enno, 2016. "Asymptotics for parametric GARCH-in-Mean models," Journal of Econometrics, Elsevier, vol. 194(2), pages 319-329.
  22. F Blasques & P Gorgi & S Koopman & O Wintenberger, 2016. "Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models," Papers 1610.02863, arXiv.org.
  23. Mohamed El Ghourabi & Christian Francq & Fedya Telmoudi, 2016. "Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(1), pages 46-76, January.
  24. Sbrana, Giacomo & Silvestrini, Andrea, 2013. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1437-1450.
  25. Adnen Ben Nasr & Ahdi N. Ajmi & Rangan Gupta, 2013. "Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model," Working Papers 201357, University of Pretoria, Department of Economics.
  26. Luger, Richard, 2012. "Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3198-3211.
  27. Hong, Yongmiao & Liu, Yanhui & Wang, Shouyang, 2009. "Granger causality in risk and detection of extreme risk spillover between financial markets," Journal of Econometrics, Elsevier, vol. 150(2), pages 271-287, June.
  28. Meitz, Mika & Saikkonen, Pentti, 2011. "Parameter Estimation In Nonlinear Ar–Garch Models," Econometric Theory, Cambridge University Press, vol. 27(6), pages 1236-1278, December.
  29. Todd, Prono, 2009. "Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 30994, University Library of Munich, Germany, revised 30 Jul 2011.
  30. Mardi Dungey & Gerald Dwyer & Thomas Flavin, 2013. "Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities," Open Economies Review, Springer, vol. 24(1), pages 5-32, February.
  31. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
  32. repec:wyi:journl:002098 is not listed on IDEAS
  33. Zhiguang Wang & Prasad Bidarkota, 2012. "Risk premia in forward foreign exchange rates: a comparison of signal extraction and regression methods," Empirical Economics, Springer, vol. 42(1), pages 21-51, February.
  34. Wang, Hui & Pan, Jiazhu, 2014. "Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 117-123.
  35. Rasmus Søndergaard Pedersen & Anders Rahbek, 2015. "Nonstationary ARCH and GARCH with t-distributed Innovations," CREATES Research Papers 2015-27, Department of Economics and Business Economics, Aarhus University.
  36. Peter Reinhard Hansen & Zhuo Huang, 2016. "Exponential GARCH Modeling With Realized Measures of Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 269-287, April.
  37. Helmut Herwartz & Hans‐Eggert Reimers, 2002. "Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH‐models and their implications," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 18(1), pages 3-22, January.
  38. Zaffaroni, Paolo & d'Italia, Banca, 2003. "Gaussian inference on certain long-range dependent volatility models," Journal of Econometrics, Elsevier, vol. 115(2), pages 199-258, August.
  39. Moschini, GianCarlo & Myers, Robert J., 2002. "Testing for constant hedge ratios in commodity markets: a multivariate GARCH approach," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 589-603, December.
  40. Elena Andreou & Bas J.M. Werker, 2014. "Residual-based Rank Specification Tests for AR-GARCH type models," University of Cyprus Working Papers in Economics 02-2014, University of Cyprus Department of Economics.
  41. Baillie, Richard T. & Morana, Claudio, 2009. "Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1577-1592, August.
  42. Bollerslev, Tim & Ghysels, Eric, 1996. "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-151, April.
  43. Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2016. "Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 582-594.
  44. Lajos Horvath & Lorenzo Trapani, 2021. "Changepoint detection in random coefficient autoregressive models," Papers 2104.13440, arXiv.org.
  45. Guglielmo Maria Caporale, 2005. "The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification: A Monte Carlo Study," Journal of Financial Econometrics, Oxford University Press, vol. 3(2), pages 282-309.
  46. Elena Andreou & Eric Ghysels, 2002. "Detecting multiple breaks in financial market volatility dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 579-600.
  47. Ryoko Ito, 2016. "Asymptotic Theory for Beta-t-GARCH," Cambridge Working Papers in Economics 1607, Faculty of Economics, University of Cambridge.
  48. Preminger, Arie & Storti, Giuseppe, 2014. "Least squares estimation for GARCH (1,1) model with heavy tailed errors," MPRA Paper 59082, University Library of Munich, Germany.
  49. Eric Beutner & Julia Schaumburg & Barend Spanjers, 2024. "Bootstrapping GARCH Models Under Dependent Innovations," Tinbergen Institute Discussion Papers 24-008/III, Tinbergen Institute.
  50. repec:bgu:wpaper:0608 is not listed on IDEAS
  51. Richard T. Baillie & Young Wook Han & Tae‐Go Kwon, 2002. "Further Long Memory Properties of Inflationary Shocks," Southern Economic Journal, John Wiley & Sons, vol. 68(3), pages 496-510, January.
  52. Mikosch, Thomas & Straumann, Daniel, 0. "Whittle estimation in a heavy-tailed GARCH(1,1) model," Stochastic Processes and their Applications, Elsevier, vol. 100(1-2), pages 187-222, July.
  53. PREMINGER, Arie & STORTI, Giuseppe, 2006. "A GARCH (1,1) estimator with (almost) no moment conditions on the error term," LIDAM Discussion Papers CORE 2006068, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  54. Christian Francq & Jean-Michel Zakoïan, 2008. "A Tour in the Asymptotic Theory of GARCH Estimation," Working Papers 2008-03, Center for Research in Economics and Statistics.
  55. Eric Hillebrand, 2003. "Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models," Econometrics 0301003, University Library of Munich, Germany.
  56. HAFNER, Christian & PREMINGER, Arie, 2016. "On Asymptotic Theory for ARCH(infinite) Models," LIDAM Discussion Papers CORE 2016030, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  57. Emma M. Iglesias & Garry D. A. Phillips, 2012. "Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models," Econometric Reviews, Taylor & Francis Journals, vol. 31(5), pages 532-557, September.
  58. Marcel P. Visser, 2011. "GARCH Parameter Estimation Using High-Frequency Data," Journal of Financial Econometrics, Oxford University Press, vol. 9(1), pages 162-197, Winter.
  59. Sylvia J. Soltyk & Felix Chan, 2023. "Modeling time‐varying higher‐order conditional moments: A survey," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 33-57, February.
  60. Jorge Pérez-Rodríguez & Julián Andrada-Félix, 2013. "Estimating critical values for testing the i.i.d. in standardized residuals from GARCH models in finite samples," Computational Statistics, Springer, vol. 28(2), pages 701-734, April.
  61. Y. K. Tse & Albert K. C. Tsui, 2000. "A Multivariate GARCH Model with Time-Varying correlations," Econometrics 0004010, University Library of Munich, Germany.
  62. Patton, Andrew J. & Ziegel, Johanna F. & Chen, Rui, 2019. "Dynamic semiparametric models for expected shortfall (and Value-at-Risk)," Journal of Econometrics, Elsevier, vol. 211(2), pages 388-413.
  63. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
  64. Blasques, Francisco & Ji, Jiangyu & Lucas, André, 2016. "Semiparametric score driven volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 58-69.
  65. Raunig, Burkhard & de Raaij, Gabriela, 2002. "Evaluating Density Forecasts with an Application to Stock Market Returns," Discussion Paper Series 1: Economic Studies 2002,08, Deutsche Bundesbank.
  66. Dungey, Mardi & Long, Xiangdong & Ullah, Aman & Wang, Yun, 2014. "A semiparametric conditional duration model," Economics Letters, Elsevier, vol. 124(3), pages 362-366.
  67. Chen, Bin & Hong, Yongmiao, 2016. "Detecting For Smooth Structural Changes In Garch Models," Econometric Theory, Cambridge University Press, vol. 32(03), pages 740-791, June.
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  69. Hafner, Christian M. & Herwartz, Helmut, 1999. "Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications," SFB 373 Discussion Papers 1999,22, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  70. Hafner, Christian M. & Preminger, Arie, 2009. "Asymptotic Theory For A Factor Garch Model," Econometric Theory, Cambridge University Press, vol. 25(2), pages 336-363, April.
  71. Huang, Da & Wang, Hansheng & Yao, Qiwei, 2008. "Estimating GARCH models: when to use what?," LSE Research Online Documents on Economics 5398, London School of Economics and Political Science, LSE Library.
  72. Ling, Shiqing & McAleer, Michael, 2003. "Asymptotic Theory For A Vector Arma-Garch Model," Econometric Theory, Cambridge University Press, vol. 19(2), pages 280-310, April.
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  74. Mimoto, Nao, 2008. "Convergence in distribution for the sup-norm of a kernel density estimator for GARCH innovations," Statistics & Probability Letters, Elsevier, vol. 78(7), pages 915-923, May.
  75. Gian Piero Aielli & Massimiliano Caporin, 2015. "Dynamic Principal Components: a New Class of Multivariate GARCH Models," "Marco Fanno" Working Papers 0193, Dipartimento di Scienze Economiche "Marco Fanno".
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  78. Abdelhakim Aknouche & Abdelouahab Bibi, 2009. "Quasi‐maximum likelihood estimation of periodic GARCH and periodic ARMA‐GARCH processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 19-46, January.
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  81. Todd Prono, 2008. "GARCH-based identification and estimation of triangular systems," Supervisory Research and Analysis Working Papers QAU08-4, Federal Reserve Bank of Boston.
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  84. Diongue, Abdou Kâ & Guégan, Dominique, 2007. "The stationary seasonal hyperbolic asymmetric power ARCH model," Statistics & Probability Letters, Elsevier, vol. 77(11), pages 1158-1164, June.
  85. Gospodinov, Nikolay, 2008. "Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root," Journal of Econometrics, Elsevier, vol. 146(1), pages 146-161, September.
  86. Ling, Shiqing, 2007. "Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models," Journal of Econometrics, Elsevier, vol. 140(2), pages 849-873, October.
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  88. Taewook Lee & Sangyeol Lee, 2009. "Normal Mixture Quasi‐maximum Likelihood Estimator for GARCH Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(1), pages 157-170, March.
  89. Marcelo Cunha Medeiros & Felix Chan & Michael McAller, 2005. "Structure and asymptotic theory for STAR(1)-GARCH(1,1) models," Textos para discussão 506, Department of Economics PUC-Rio (Brazil).
  90. Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey, 2015. "Bad environments, good environments: A non-Gaussian asymmetric volatility model," Journal of Econometrics, Elsevier, vol. 186(1), pages 258-275.
  91. Gonzalez-Rivera, Gloria & Drost, Feike C., 1999. "Efficiency comparisons of maximum-likelihood-based estimators in GARCH models," Journal of Econometrics, Elsevier, vol. 93(1), pages 93-111, November.
  92. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July.
  93. So, Mike K.P. & Chung, Ray S.W., 2015. "Statistical inference for conditional quantiles in nonlinear time series models," Journal of Econometrics, Elsevier, vol. 189(2), pages 457-472.
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  95. Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2003. "LARCH, leverage and long memory," LSE Research Online Documents on Economics 2020, London School of Economics and Political Science, LSE Library.
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  127. Marcelo Fernandes & Marcelo Cunha Medeiros & Alvaro Veiga, 2006. "A (semi-)parametric functional coefficient autoregressive conditional duration model," Textos para discussão 535, Department of Economics PUC-Rio (Brazil).
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  133. Walid M. A. Ahmed, 2014. "Dynamic interactions between Egyptian equity and currency markets prior to and during political unrest," Applied Financial Economics, Taylor & Francis Journals, vol. 24(20), pages 1347-1359, October.
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  135. Jianqing Fan & Lei Qi & Dacheng Xiu, 2014. "Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 178-191, April.
  136. Baillie, Richard T. & Morana, Claudio, 2009. "Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1577-1592, August.
  137. Han, Heejoon & Park, Joon Y., 2012. "ARCH/GARCH with persistent covariate: Asymptotic theory of MLE," Journal of Econometrics, Elsevier, vol. 167(1), pages 95-112.
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