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Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model
Pan, Baoguo1,2; Chen, Min2,3
2016
Source PublicationCOMMUNICATIONS IN STATISTICS-THEORY AND METHODS
ISSN0361-0926
Volume45Issue:4Pages:1000-1013
AbstractThis article investigates a quasi-maximum exponential likelihood estimator(QMELE) for a non stationary generalized autoregressive conditional heteroscedastic (GARCH(1,1)) model. Asymptotic normality of this estimator is derived under a non stationary condition. A simulation study and a real example are given to evaluate the performance of QMELE for this model.
KeywordAsymptotic normality GARCH models Non stationarity Quasi-maximum exponential likelihood estimator Primary 62M10 Secondary 62F12
DOI10.1080/03610926.2013.851225
Language英语
Funding ProjectNational Natural Science Foundation of China[10990012] ; National Natural Science Foundation of China[11021161]
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000370612900012
PublisherTAYLOR & FRANCIS INC
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/22136
Collection应用数学研究所
Affiliation1.Hubei Engn Univ, Sch Math & Stat, Xiaogan, Peoples R China
2.Univ Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
3.Capital Univ Econ & Finance, Sch Stat, Beijing, Peoples R China
Recommended Citation
GB/T 7714
Pan, Baoguo,Chen, Min. Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,2016,45(4):1000-1013.
APA Pan, Baoguo,&Chen, Min.(2016).Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model.COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,45(4),1000-1013.
MLA Pan, Baoguo,et al."Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model".COMMUNICATIONS IN STATISTICS-THEORY AND METHODS 45.4(2016):1000-1013.
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