Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model
文献类型：期刊论文
| 作者 | Pan, Baoguo1,2; Chen, Min2,3
|
| 刊名 | COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
 |
| 出版日期 | 2016 |
| 卷号 | 45期号:4页码:1000-1013 |
| 关键词 | Asymptotic normality GARCH models Non stationarity Quasi-maximum exponential likelihood estimator Primary 62M10 Secondary 62F12 |
| ISSN号 | 0361-0926 |
| DOI | 10.1080/03610926.2013.851225 |
| 英文摘要 | This article investigates a quasi-maximum exponential likelihood estimator(QMELE) for a non stationary generalized autoregressive conditional heteroscedastic (GARCH(1,1)) model. Asymptotic normality of this estimator is derived under a non stationary condition. A simulation study and a real example are given to evaluate the performance of QMELE for this model. |
| 资助项目 | National Natural Science Foundation of China[10990012] ; National Natural Science Foundation of China[11021161] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000370612900012 |
| 出版者 | TAYLOR & FRANCIS INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/22135]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Pan, Baoguo |
| 作者单位 | 1.Hubei Engn Univ, Sch Math & Stat, Xiaogan, Peoples R China 2.Univ Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 3.Capital Univ Econ & Finance, Sch Stat, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Pan, Baoguo,Chen, Min. Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,2016,45(4):1000-1013. |
| APA | Pan, Baoguo,&Chen, Min.(2016).Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model.COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,45(4),1000-1013. |
| MLA | Pan, Baoguo,et al."Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model".COMMUNICATIONS IN STATISTICS-THEORY AND METHODS 45.4(2016):1000-1013. |
入库方式： OAI收割
来源：数学与系统科学研究院
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