Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
AbstractThis paper investigates the asymptotic theory of the quasi-maximum exponential likelihood estimators (QMELE) for ARMA–GARCH models. Under only a fractional moment condition, the strong consistency and the asymptotic normality of the global self-weighted QMELE are obtained. Based on this self-weighted QMELE, the local QMELE is showed to be asymptotically normal for the ARMA model with GARCH (finite variance) and IGARCH errors. A formal comparison of two estimators is given for some cases. A simulation study is carried out to assess the performance of these estimators, and a real example on the world crude oil price is given.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 51509.
Date of creation: 17 Nov 2013
Date of revision:
Publication status: Published in Annals of Statistics 4.39(2011): pp. 2131-2163
ARMA–GARCH/IGARCH model; asymptotic normality; global selfweighted/local quasi-maximum exponential likelihood estimator; strong consistency.;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-22 (All new papers)
- NEP-ECM-2013-11-22 (Econometrics)
- NEP-ETS-2013-11-22 (Econometric Time Series)
- NEP-ORE-2013-11-22 (Operations Research)
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