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| Quasi-maximum likelihood estimator of Laplace (1,1) for GARCH models | |
Xuan, Haiyan1,2 ; Song, Lixin1; Amin, Muhammad3; Shi, Yongxia4
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| 2017-12-29 | |
| 发表期刊 | OPEN MATHEMATICS
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| ISSN | 2391-5455 |
| 卷号 | 15页码:1539-1548 |
| 摘要 | This paper studies the quasi-maximum likelihood estimator (QMLE) for the generalized autoregressive conditional heteroscedastic (GARCH) model based on the Laplace (1,1) residuals. The QMLE is proposed to the parameter vector of the GARCH model with the Laplace (1,1) firstly. Under some certain conditions, the strong consistency and asymptotic normality of QMLE are then established. In what follows, a real example with Laplace and normal distribution is analyzed to evaluate the performance of the QMLE and some comparison results on the performance are given. In the end the proofs of some theorem are presented. |
| 关键词 | Asymptotic normality GARCH model Laplace (1,1) Quasi-maximum likelihood estimator Strong consistency |
| DOI | 10.1515/math-2017-0131 |
| 收录类别 | SCI |
| 语种 | 英语 |
| 资助项目 | National Natural Science Foundation of China[11371077] |
| WOS研究方向 | Mathematics |
| WOS类目 | Mathematics |
| WOS记录号 | WOS:000422737200007 |
| 出版者 | DE GRUYTER OPEN LTD |
| 引用统计 | |
| 文献类型 | 期刊论文 |
| 条目标识符 | https://ir.lut.edu.cn/handle/2XXMBERH/32958 |
| 专题 | 经济管理学院 |
| 通讯作者 | Xuan, Haiyan |
| 作者单位 | 1.Dalian Univ Technol, Sch Math Sci, Dalian, Peoples R China 2.Lanzhou Univ Technol, Sch Econ & Management, Lanzhou, Gansu, Peoples R China 3.NIFA, Peshawar, Pakistan 4.Lanzhou Univ Technol, Sch Sci, Lanzhou, Gansu, Peoples R China |
| 第一作者单位 | 兰州理工大学 |
| 通讯作者单位 | 兰州理工大学 |
| 推荐引用方式 GB/T 7714 | Xuan, Haiyan,Song, Lixin,Amin, Muhammad,et al. Quasi-maximum likelihood estimator of Laplace (1,1) for GARCH models[J]. OPEN MATHEMATICS,2017,15:1539-1548. |
| APA | Xuan, Haiyan,Song, Lixin,Amin, Muhammad,&Shi, Yongxia.(2017).Quasi-maximum likelihood estimator of Laplace (1,1) for GARCH models.OPEN MATHEMATICS,15,1539-1548. |
| MLA | Xuan, Haiyan,et al."Quasi-maximum likelihood estimator of Laplace (1,1) for GARCH models".OPEN MATHEMATICS 15(2017):1539-1548. |
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| Xuan-2017-Quasi-maxi（459KB） | 期刊论文 | 出版稿 | 开放获取 | CC BY-NC-SA | 浏览 下载 | |
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