KMS Of Academy of mathematics and systems sciences, CAS
mestimationforperiodicgarchmodelwithhighfrequencydata | |
Fan Pengying1; Wu Sixin2; Zhao Zilong2; Chen Min2 | |
2017 | |
发表期刊 | actamathematicaeapplicataesinicaenglishseries |
ISSN | 0168-9673 |
卷号 | 33期号:3页码:717 |
摘要 | Abstract 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. |
语种 | 英语 |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/36427 |
专题 | 应用数学研究所 |
作者单位 | 1.北京工商大学 2.中国科学院数学与系统科学研究院 |
推荐引用方式 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. |
条目包含的文件 | 条目无相关文件。 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。
修改评论