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mestimationforperiodicgarchmodelwithhighfrequencydata
Fan Pengying1; Wu Sixin2; Zhao Zilong2; Chen Min2
2017
Source Publicationactamathematicaeapplicataesinicaenglishseries
ISSN0168-9673
Volume33Issue:3Pages:717
AbstractAbstract 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.
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/36427
Collection应用数学研究所
Affiliation1.北京工商大学
2.中国科学院数学与系统科学研究院
Recommended Citation
GB/T 7714
Fan Pengying,Wu Sixin,Zhao Zilong,et al. mestimationforperiodicgarchmodelwithhighfrequencydata[J]. actamathematicaeapplicataesinicaenglishseries,2017,33(3):717.
APA Fan Pengying,Wu Sixin,Zhao Zilong,&Chen Min.(2017).mestimationforperiodicgarchmodelwithhighfrequencydata.actamathematicaeapplicataesinicaenglishseries,33(3),717.
MLA Fan Pengying,et al."mestimationforperiodicgarchmodelwithhighfrequencydata".actamathematicaeapplicataesinicaenglishseries 33.3(2017):717.
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