mestimationforperiodicgarchmodelwithhighfrequencydata

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	mestimationforperiodicgarchmodelwithhighfrequencydata
	Fan Pengying 1; Wu Sixin 2; Zhao Zilong 2; 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.