Journal of the Korean Data and Information Science Society

한국데이터정보과학회 (The Korean Data and Information Science Society)
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Quasi-Likelihood Estimation for ARCH Models

  • 발행 : 2005.08.31
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초록

In this paper the quasi-likelihood function was proposed and the estimators which are the solutions of the estimating equations for estimation of a class of nonlinear time series models. We compare the performances of the proposed estimators with those of the ML estimators under the heavy-railed distributions by simulation.

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참고문헌

  1. Annals of Institute of Statistical Mathematics v.53 no.1 Estimating Functions For Nonlinear Time Series Models Chandra, S.;Taniguchi, M.
  2. Journal of Business and Economic Statistics v.18 no.2 Semiparametric ARCH Models : An Estimating Function Approach Li, David X.;Turtle, H.J.
  3. Econometrica v.50 Autoregressive conditional heteoskedasticity with estimates of the variance of U. K. inflation Engle, R.F.
  4. Biometrika v.72 The foundations of finite sample estimation in stochastic processes Godambe, V.P.
  5. Journal of Statistical Planning and Inference v.22 An Extension of Quasi-Likelihood Estimation Godambe, V.P.;Thomson, M.E.
  6. Econometrica v.50 Large sample properties of generalized method of moments estimators Hansen, L.P.
  7. ARCH Models and Financial Applications Gourieroux, C.
  8. Journal of Time Series Analysis v.13 Estimation for Non-linear Time Series models Using Estimating Equation Thavanes Waran, A.;Abraham, B.