Whittle Estimation Of Arch Models
AbstractFor a class of parametric ARCH models, Whittle estimation based on squared observations is shown to be [square root of n]-consistent and asymptotically normal. Our conditions require the squares to have short memory autocorrelation, by comparison with the work of Zaffaroni (1999, Gaussian Inference on Certain Long-Range Dependent Volatility Models, Preprint), who established the same properties on the basis of an alternative class of models with martingale difference levels and long memory autocorrelated squares.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 17 (2001)
Issue (Month): 03 (June)
Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page: http://journals.cambridge.org/jid_ECTProvider-Email:firstname.lastname@example.org
Other versions of this item:
- Liudas Giraitis & Peter M Robinson, 2000. "Whittle Estimation of ARCH Models," STICERD - Econometrics Paper Series /2000/406, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Giraitis, Liudas & Robinson, Peter M., 2001. "Whittle estimation of ARCH models," Open Access publications from London School of Economics and Political Science http://eprints.lse.ac.uk/, London School of Economics and Political Science.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2004.
"LARCH, leverage, and long memory,"
Open Access publications from London School of Economics and Political Science
http://eprints.lse.ac.uk/, London School of Economics and Political Science.
- repec:hal:journl:halshs-00375758 is not listed on IDEAS
- Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
- Diongue Abdou Ka & Dominique Guegan, 2008.
"Estimation of k-Factor Gigarch Process: A Monte Carlo Study,"
UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers)
- Abdou Kâ Diongue & Dominique Guegan, 2008. "Estimation of k-factor GIGARCH process : a Monte Carlo study," Documents de travail du Centre d'Economie de la Sorbonne b08004, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Abdou Kâ Diongue & Dominique Guegan, 2008. "Estimation of k-factor GIGARCH process : a Monte Carlo study," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00235179, HAL.
- Mikosch, Thomas & Straumann, Daniel, 0. "Whittle estimation in a heavy-tailed GARCH(1,1) model," Stochastic Processes and their Applications, Elsevier, vol. 100(1-2), pages 187-222, July.
- Zaffaroni, Paolo, 2009. "Whittle estimation of EGARCH and other exponential volatility models," Journal of Econometrics, Elsevier, vol. 151(2), pages 190-200, August.
- Peter M Robinson & Paolo Zaffaroni, 2005. "Pseudo-Maximum Likelihood Estimation of ARCH(8) Models," STICERD - Econometrics Paper Series /2005/495, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Jörg Polzehl & Vladimir Spokoiny, 2006. "Varying coefficient GARCH versus local constant volatility modeling. Comparison of the predictive power," SFB 649 Discussion Papers SFB649DP2006-033, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Tomohito Naito & Kohei Asai & Tomoyuki Amano & Masanobu Taniguchi, 2010. "Local Whittle likelihood estimators and tests for non-Gaussian stationary processes," Statistical Inference for Stochastic Processes, Springer, vol. 13(3), pages 163-174, October.
- Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2010. "Auto-correlated behavior of WTI crude oil volatilities: A multiscale perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5759-5768.
- Han, Heejoon & Park, Joon Y., 2012. "ARCH/GARCH with persistent covariate: Asymptotic theory of MLE," Journal of Econometrics, Elsevier, vol. 167(1), pages 95-112.
- repec:hal:journl:halshs-00235179 is not listed on IDEAS
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.