M-estimation for periodic GARCH model with high-frequency data

doi:10.1007/s10255-017-0694-x

CSpace > 应用数学研究所

	M-estimation for periodic GARCH model with high-frequency data
	Fan, Peng-ying 1; Wu, Si-xin 2; Zhao, Zi-long 2; Chen, Min2
	2017-07-01
发表期刊	ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES
ISSN	0168-9673
卷号	33 期号:3 页码:717-730
摘要	This 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.
关键词	asymptotic normality consistency high-frequency data PGARCH model M-estimator
DOI	10.1007/s10255-017-0694-x
语种	英语
资助项目	National Natural Science Foundation of China[71673315] ; Foundation of Beijing Technology and Business University[LKJJ2016-03] ; Capital Circulation Research Base[JD-YB-2017-016]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000407493700014
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/26268
专题	应用数学研究所
通讯作者	Fan, Peng-ying
作者单位	1.Beijing Technol & Business Univ, Sch Econ, Beijing 100048, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 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.