Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model

doi:10.1080/03610926.2013.851225

CSpace > 应用数学研究所

	Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model
	Pan, Baoguo 1,2; Chen, Min2,3
	2016
发表期刊	COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
ISSN	0361-0926
卷号	45 期号:4 页码:1000-1013
摘要	This 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.
关键词	Asymptotic normality GARCH models Non stationarity Quasi-maximum exponential likelihood estimator Primary 62M10 Secondary 62F12
DOI	10.1080/03610926.2013.851225
语种	英语
资助项目	National Natural Science Foundation of China[10990012] ; National Natural Science Foundation of China[11021161]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000370612900012
出版者	TAYLOR & FRANCIS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/22136
专题	应用数学研究所
通讯作者	Pan, Baoguo
作者单位	1.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
推荐引用方式 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.