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M-estimation for periodic GARCH model with high-frequency data
Fan, Peng-ying1; Wu, Si-xin2; Zhao, Zi-long2; Chen, Min2
2017-07-01
Source PublicationACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES
ISSN0168-9673
Volume33Issue:3Pages:717-730
AbstractThis paper studies an M-estimator of a proxy periodic GARCH (p, q) scaling model and establishes its consistency and asymptotic normality. Simulation studies are carried out to assess the performance of the estimator. The numerical results show that our M-estimator is more efficient and robust than other estimators without the use of high-frequency data.
Keywordasymptotic normality consistency high-frequency data PGARCH model M-estimator
DOI10.1007/s10255-017-0694-x
Language英语
Funding ProjectNational Natural Science Foundation of China[71673315] ; Foundation of Beijing Technology and Business University[LKJJ2016-03] ; Capital Circulation Research Base[JD-YB-2017-016]
WOS Research AreaMathematics
WOS SubjectMathematics, Applied
WOS IDWOS:000407493700014
PublisherSPRINGER HEIDELBERG
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/26268
Collection应用数学研究所
Corresponding AuthorFan, Peng-ying
Affiliation1.Beijing Technol & Business Univ, Sch Econ, Beijing 100048, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
Recommended Citation
GB/T 7714
Fan, Peng-ying,Wu, Si-xin,Zhao, Zi-long,et al. M-estimation for periodic GARCH model with high-frequency data[J]. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,2017,33(3):717-730.
APA Fan, Peng-ying,Wu, Si-xin,Zhao, Zi-long,&Chen, Min.(2017).M-estimation for periodic GARCH model with high-frequency data.ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,33(3),717-730.
MLA Fan, Peng-ying,et al."M-estimation for periodic GARCH model with high-frequency data".ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES 33.3(2017):717-730.
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