کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096427 | 1376527 | 2011 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE](/preview/png/5096427.png)
چکیده انگلیسی
In generalized autoregressive conditional heteroskedastic (GARCH) models, the standard identifiability assumption that the variance of the iid process is equal to 1 can be replaced by an alternative moment assumption. We show that, for estimating the original specification based on the standard identifiability assumption, efficiency gains can be expected from using a quasi-maximum likelihood (QML) estimator based on a non Gaussian density and a reparameterization based on an alternative identifiability assumption. A test allowing to determine whether a reparameterization is needed, that is, whether the more efficient QMLE is obtained with a non Gaussian density, is proposed.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 165, Issue 2, December 2011, Pages 246-257
Journal: Journal of Econometrics - Volume 165, Issue 2, December 2011, Pages 246-257
نویسندگان
Christian Francq, Guillaume Lepage, Jean-Michel Zakoïan,