M-estimation for periodic GARCH model with high-frequency data
文献类型：期刊论文
| 作者 | Fan, Peng-ying1; Wu, Si-xin2; Zhao, Zi-long2; Chen, Min2
|
| 刊名 | ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES
 |
| 出版日期 | 2017-07-01 |
| 卷号 | 33期号:3页码:717-730 |
| 关键词 | asymptotic normality consistency high-frequency data PGARCH model M-estimator |
| ISSN号 | 0168-9673 |
| DOI | 10.1007/s10255-017-0694-x |
| 英文摘要 | This paper studies an M-estimator of a proxy periodic GARCH (p, q) scaling model and establishes its consistency and asymptotic normality. Simulation studies are carried out to assess the performance of the estimator. The numerical results show that our M-estimator is more efficient and robust than other estimators without the use of high-frequency data. |
| 资助项目 | National Natural Science Foundation of China[71673315] ; Foundation of Beijing Technology and Business University[LKJJ2016-03] ; Capital Circulation Research Base[JD-YB-2017-016] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000407493700014 |
| 出版者 | SPRINGER HEIDELBERG |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/26267]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Fan, Peng-ying |
| 作者单位 | 1.Beijing Technol & Business Univ, Sch Econ, Beijing 100048, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Fan, Peng-ying,Wu, Si-xin,Zhao, Zi-long,et al. M-estimation for periodic GARCH model with high-frequency data[J]. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,2017,33(3):717-730. |
| APA | Fan, Peng-ying,Wu, Si-xin,Zhao, Zi-long,&Chen, Min.(2017).M-estimation for periodic GARCH model with high-frequency data.ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,33(3),717-730. |
| MLA | Fan, Peng-ying,et al."M-estimation for periodic GARCH model with high-frequency data".ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES 33.3(2017):717-730. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。