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Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods

Citations

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Cited by:

  1. Meister, Alexander & Kreiß, Jens-Peter, 2016. "Statistical inference for nonparametric GARCH models," Stochastic Processes and their Applications, Elsevier, vol. 126(10), pages 3009-3040.
  2. Francq, Christian & Zakoïan, Jean-Michel, 2015. "Risk-parameter estimation in volatility models," Journal of Econometrics, Elsevier, vol. 184(1), pages 158-173.
  3. Gabriele Fiorentini & Enrique Sentana, 2021. "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
  4. Caiya Zhang & Kaihong Xu & Lianfen Qian, 2020. "Asymptotic properties of the QMLE in a log-linear RealGARCH model with Gaussian errors," Statistical Papers, Springer, vol. 61(6), pages 2313-2330, December.
  5. Conrad, Christian & Mammen, Enno, 2016. "Asymptotics for parametric GARCH-in-Mean models," Journal of Econometrics, Elsevier, vol. 194(2), pages 319-329.
  6. 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.
  7. Miguel Antonio Alba Suárez & Wilmer Pineda-Ríos & Javier Deaza Chaves, 2019. "Análisis comparativo de las metodologías de estimación semiparamétricas y vía cópulas del Valor en Riesgo (VaR) en el mercado accionario colombiano," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(2), pages 279-307, Abril-Jun.
  8. Javed Farrukh & Podgórski Krzysztof, 2017. "Tail Behavior and Dependence Structure in the APARCH Model," Journal of Time Series Econometrics, De Gruyter, vol. 9(2), pages 1-48, July.
  9. Jiayuan Zhou & Feiyu Jiang & Ke Zhu & Wai Keung Li, 2019. "Time series models for realized covariance matrices based on the matrix-F distribution," Papers 1903.12077, arXiv.org, revised Jul 2020.
  10. 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.
  11. Francq, Christian & Zakoian, Jean-Michel, 2015. "Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels," MPRA Paper 67195, University Library of Munich, Germany.
  12. Julia S. Mehlitz & Benjamin R. Auer, 2021. "Time‐varying dynamics of expected shortfall in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 895-925, June.
  13. Bertsatos, Georgios & Sakellaris, Plutarchos & Tsionas, Mike G., 2017. "Did the financial crisis affect the market valuation of large systemic U.S. banks?," Journal of Financial Stability, Elsevier, vol. 32(C), pages 115-123.
  14. Ryoko Ito, 2016. "Asymptotic Theory for Beta-t-GARCH," Cambridge Working Papers in Economics 1607, Faculty of Economics, University of Cambridge.
  15. Ñíguez, Trino-Manuel & Perote, Javier, 2016. "Multivariate moments expansion density: Application of the dynamic equicorrelation model," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 216-232.
  16. Hang Liu & Kanchan Mukherjee, 2022. "R-estimators in GARCH models: asymptotics and applications," The Econometrics Journal, Royal Economic Society, vol. 25(1), pages 98-113.
  17. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2022. "The impact and role of COVID-19 uncertainty: A global industry analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
  18. Christian Gouriéroux & Alain Monfort & Eric Renault, 2017. "Consistent Pseudo-Maximum Likelihood Estimators," Annals of Economics and Statistics, GENES, issue 125-126, pages 187-218.
  19. Jungsik Noh & Sangyeol Lee, 2016. "Quantile Regression for Location-Scale Time Series Models with Conditional Heteroscedasticity," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(3), pages 700-720, September.
  20. Helen Caraveli & Ioannis Chatzigiatroudakis & Evangelos Paravalos, 2018. "Determinants of growth differences between Eastern and Southern EU countries: A panel-data approach," Working Papers 201803, Athens University Of Economics and Business, Department of Economics.
  21. Stelios Arvanitis, 2017. "Non-Emptyness of Stochastic Dominance Effiicient Sets via Stochastic Spanning," Working Papers 201710, Athens University Of Economics and Business, Department of Economics.
  22. Wang, Weining & Wooldridge, Jeffrey M. & Xu, Mengshan, 2020. "Improved Estimation of Dynamic Models of Conditional Means and Variances," IRTG 1792 Discussion Papers 2020-021, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  23. Vijverberg, Chu-Ping C. & Vijverberg, Wim P.M. & Taşpınar, Süleyman, 2016. "Linking Tukey’s legacy to financial risk measurement," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 595-615.
  24. Hallin, Marc & La Vecchia, Davide, 2017. "R-estimation in semiparametric dynamic location-scale models," Journal of Econometrics, Elsevier, vol. 196(2), pages 233-247.
  25. Szczygielski, Jan Jakub & Bwanya, Princess Rutendo & Charteris, Ailie & Brzeszczyński, Janusz, 2021. "The only certainty is uncertainty: An analysis of the impact of COVID-19 uncertainty on regional stock markets," Finance Research Letters, Elsevier, vol. 43(C).
  26. Carnero M. Angeles & Pérez Ana, 2021. "Outliers and misleading leverage effect in asymmetric GARCH-type models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(1), pages 1-19, February.
  27. Chen, Min & Zhu, Ke, 2015. "Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations," Journal of Econometrics, Elsevier, vol. 189(2), pages 313-320.
  28. Anatolyev Stanislav, 2019. "Volatility filtering in estimation of kurtosis (and variance)," Dependence Modeling, De Gruyter, vol. 7(1), pages 1-23, February.
  29. Charles, Amélie & Darné, Olivier, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Energy Economics, Elsevier, vol. 67(C), pages 508-519.
  30. Aknouche, Abdelhakim & Al-Eid, Eid & Demouche, Nacer, 2016. "Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models," MPRA Paper 75770, University Library of Munich, Germany, revised 19 Dec 2016.
  31. Mo Zhou & Liang Peng & Rongmao Zhang, 2021. "Empirical likelihood test for the application of swqmele in fitting an arma‐garch model," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(2), pages 222-239, March.
  32. Bitros, George C. & Nadiri, M. Ishaq, 2017. "Behavior of business investment in the USA under variable and proportional rates of replacement," MPRA Paper 80594, University Library of Munich, Germany.
  33. Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel, 2017. "Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations," MPRA Paper 79623, University Library of Munich, Germany.
  34. Wang, Xuqin & Li, Muyi, 2023. "Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 184(C).
  35. Herwartz, Helmut, 2017. "Stock return prediction under GARCH — An empirical assessment," International Journal of Forecasting, Elsevier, vol. 33(3), pages 569-580.
  36. Fiorentini, Gabriele & Sentana, Enrique, 2019. "Consistent non-Gaussian pseudo maximum likelihood estimators," Journal of Econometrics, Elsevier, vol. 213(2), pages 321-358.
  37. Chao Zhang & Xingyue Pu & Mihai Cucuringu & Xiaowen Dong, 2023. "Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects," Papers 2308.01419, arXiv.org.
  38. C. Gouriéroux & A. Monfort & J.‐M. Zakoïan, 2019. "Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations," Econometrica, Econometric Society, vol. 87(1), pages 327-345, January.
  39. Stefan Richter & Weining Wang & Wei Biao Wu, 2018. "A supreme test for periodic explosive GARCH," Papers 1812.03475, arXiv.org.
  40. Li, Dong & Ling, Shiqing & Zhu, Ke, 2016. "ZD-GARCH model: a new way to study heteroscedasticity," MPRA Paper 68621, University Library of Munich, Germany.
  41. Stefan Richter & Weining Wang & Wei Biao Wu, 2023. "Testing for parameter change epochs in GARCH time series," The Econometrics Journal, Royal Economic Society, vol. 26(3), pages 467-491.
  42. Huan Gong & Dong Li, 2020. "On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 883-891, November.
  43. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2024. "Google search trends and stock markets: Sentiment, attention or uncertainty?," International Review of Financial Analysis, Elsevier, vol. 91(C).
  44. Abdeljalil Settar & Nadia Idrissi Fatmi & Mohammed Badaoui, 2021. "New Approach in Dealing with the Non-Negativity of the Conditional Variance in the Estimation of GARCH Model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(1), pages 55-74, March.
  45. Szczygielski, Jan Jakub & Brzeszczyński, Janusz & Charteris, Ailie & Bwanya, Princess Rutendo, 2022. "The COVID-19 storm and the energy sector: The impact and role of uncertainty," Energy Economics, Elsevier, vol. 109(C).
  46. Donggyu Kim, 2016. "Statistical Inference for Unified Garch–Itô Models with High-Frequency Financial Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(4), pages 513-532, July.
  47. Prono Todd, 2018. "Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-25, December.
  48. Aguilar, Mike & Hill, Jonathan B., 2015. "Robust score and portmanteau tests of volatility spillover," Journal of Econometrics, Elsevier, vol. 184(1), pages 37-61.
  49. George C. Bitros, 2017. "Germany and Greece: A mapping of their great divide and its EU implications," Working Papers 201706, Athens University Of Economics and Business, Department of Economics.
  50. Zhu, Ke, 2015. "Hausman tests for the error distribution in conditionally heteroskedastic models," MPRA Paper 66991, University Library of Munich, Germany.
  51. Richard T. A. Samuel & Charles Chimedza & Caston Sigauke, 2023. "Simulation Framework to Determine Suitable Innovations for Volatility Persistence Estimation: The GARCH Approach," JRFM, MDPI, vol. 16(9), pages 1-30, September.
  52. Natasha Miaouli & Panagiota Koliousi, 2018. "Efficient bargaining versus Right to manage in the era of liberalization," Working Papers 201804, Athens University Of Economics and Business, Department of Economics.
  53. Yining Chen, 2015. "Semiparametric Time Series Models with Log-concave Innovations: Maximum Likelihood Estimation and its Consistency," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 1-31, March.
  54. Aknouche, Abdelhakim, 2015. "Unified quasi-maximum likelihood estimation theory for stable and unstable Markov bilinear processes," MPRA Paper 69572, University Library of Munich, Germany.
  55. Vadim Azhmyakov & Ilya Shirokov & Luz Adriana Guzman Trujillo, 2024. "Advanced Statistical Analysis of the Predicted Volatility Levels in Crypto Markets," JRFM, MDPI, vol. 17(7), pages 1-15, July.
  56. Arvanitis, Stelios & Louka, Alexandros, 2017. "Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model," Economics Letters, Elsevier, vol. 161(C), pages 135-137.
  57. Li, Dong & Zhang, Xingfa & Zhu, Ke & Ling, Shiqing, 2018. "The ZD-GARCH model: A new way to study heteroscedasticity," Journal of Econometrics, Elsevier, vol. 202(1), pages 1-17.
  58. Masuda, Hiroki, 2019. "Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 129(3), pages 1013-1059.
  59. Stylianos G. Gogos & Dimitris Papageorgiou & Vanghelis Vassilatos, 2017. "Rent Seeking Activities and Aggregate Economic Performance - The Case of Greece," Working Papers 201712, Athens University Of Economics and Business, Department of Economics.
  60. Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2016. "Nonstationary GARCH with t-distributed innovations," Economics Letters, Elsevier, vol. 138(C), pages 19-21.
  61. Abdelhakim Aknouche & Eid Al-Eid & Nacer Demouche, 2018. "Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models," Statistical Inference for Stochastic Processes, Springer, vol. 21(3), pages 485-511, October.
  62. George C. Bitros, 2017. "Still in the Woods," Working Papers 201711, Athens University Of Economics and Business, Department of Economics.
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