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Article: Global self-weighted and local quasi-maximum exponential likelihood estimators for arma-garch/igarch models
| Title | Global self-weighted and local quasi-maximum exponential likelihood estimators for arma-garch/igarch models |
|---|---|
| Authors | |
| Keywords | Strong consistency ARMA-GARCH/IGARCH model Global self-weighted/local quasi-maximum exponential likelihood estimator Asymptotic normality |
| Issue Date | 2011 |
| Citation | Annals of Statistics, 2011, v. 39, n. 4, p. 2131-2163 How to Cite? |
| Abstract | © Institute of Mathematical Statistics, 2011.This paper investigates the asymptotic theory of the quasi-maximum exponential likelihood estimators (QMELE) for ARMA-GARCH models. Under only a fractional moment condition, the strong consistency and the asymptotic normality of the global self-weighted QMELE are obtained. Based on this self-weighted QMELE, the local QMELE is showed to be asymptotically normal for the ARMA model with GARCH (finite variance) and IGARCH errors. A formal comparison of two estimators is given for some cases. A simulation study is carried out to assess the performance of these estimators, and a real example on the world crude oil price is given. |
| Persistent Identifier | http://hdl.handle.net/10722/230907 |
| ISSN | 2021 Impact Factor: 4.904 2020 SCImago Journal Rankings: 5.877 |
| ISI Accession Number ID |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Zhu, Ke | - |
| dc.contributor.author | Ling, Shiqing | - |
| dc.date.accessioned | 2016-09-01T06:07:07Z | - |
| dc.date.available | 2016-09-01T06:07:07Z | - |
| dc.date.issued | 2011 | - |
| dc.identifier.citation | Annals of Statistics, 2011, v. 39, n. 4, p. 2131-2163 | - |
| dc.identifier.issn | 0090-5364 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/230907 | - |
| dc.description.abstract | © Institute of Mathematical Statistics, 2011.This paper investigates the asymptotic theory of the quasi-maximum exponential likelihood estimators (QMELE) for ARMA-GARCH models. Under only a fractional moment condition, the strong consistency and the asymptotic normality of the global self-weighted QMELE are obtained. Based on this self-weighted QMELE, the local QMELE is showed to be asymptotically normal for the ARMA model with GARCH (finite variance) and IGARCH errors. A formal comparison of two estimators is given for some cases. A simulation study is carried out to assess the performance of these estimators, and a real example on the world crude oil price is given. | - |
| dc.language | eng | - |
| dc.relation.ispartof | Annals of Statistics | - |
| dc.subject | Strong consistency | - |
| dc.subject | ARMA-GARCH/IGARCH model | - |
| dc.subject | Global self-weighted/local quasi-maximum exponential likelihood estimator | - |
| dc.subject | Asymptotic normality | - |
| dc.title | Global self-weighted and local quasi-maximum exponential likelihood estimators for arma-garch/igarch models | - |
| dc.type | Article | - |
| dc.description.nature | link_to_subscribed_fulltext | - |
| dc.identifier.doi | 10.1214/11-AOS895 | - |
| dc.identifier.scopus | eid_2-s2.0-84869388467 | - |
| dc.identifier.volume | 39 | - |
| dc.identifier.issue | 4 | - |
| dc.identifier.spage | 2131 | - |
| dc.identifier.epage | 2163 | - |
| dc.identifier.isi | WOS:000296995500011 | - |
| dc.identifier.issnl | 0090-5364 | - |