کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1149684 957892 2009 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Combining estimating functions for volatility
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Combining estimating functions for volatility
چکیده انگلیسی

Accurate estimates of volatility are needed in risk management. Generalized autoregressive conditional heteroscedastic (GARCH) models and random coefficient autoregressive (RCA) models have been used for volatility modelling. Following Heyde [1997. Quasi-likelihood and its Applications. Springer, New York], volatility estimates are obtained by combining two different estimating functions. It turns out that the combined estimating function for the parameter in autoregressive processes with GARCH errors and RCA models contains maximum information. The combination of the least squares (LS) estimating function and the least absolute deviation (LAD) estimating function with application to GARCH model error identification is discussed as an application.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 139, Issue 4, 1 April 2009, Pages 1449–1461
نویسندگان
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