کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096439 | 1376528 | 2012 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
ARCH/GARCH with persistent covariate: Asymptotic theory of MLE
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
The paper considers a volatility model which introduces a persistent, integrated or near-integrated, covariate to the standard GARCH(1, 1) model. For such a model, we derive the asymptotic theory of the quasi-maximum likelihood estimator. In particular, we establish consistency and obtain limit distribution. The limit distribution is generally non-Gaussian and represented as a functional of Brownian motions. However, it becomes Gaussian if the covariate has innovation uncorrelated with the squared innovation of the model or the volatility function is linear in parameter. We provide a simulation study to demonstrate the relevance and usefulness of our asymptotic theory.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 167, Issue 1, March 2012, Pages 95-112
Journal: Journal of Econometrics - Volume 167, Issue 1, March 2012, Pages 95-112
نویسندگان
Heejoon Han, Joon Y. Park,