Quasi-maximum likelihood estimator of Laplace (1, 1) for GARCH models

Haiyan Xuan, et al. "Quasi-maximum likelihood estimator of Laplace (1, 1) for GARCH models." Open Mathematics 15.1 (2017): 1539-1548. <http://eudml.org/doc/288490>.

@article{HaiyanXuan2017,
abstract = {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.},
author = {Haiyan Xuan, Lixin Song, Muhammad Amin, Yongxia Shi},
journal = {Open Mathematics},
keywords = {Asymptotic normality; GARCH model; Laplace (1,1); Quasi-maximum likelihood estimator; Strong consistency},
language = {eng},
number = {1},
pages = {1539-1548},
title = {Quasi-maximum likelihood estimator of Laplace (1, 1) for GARCH models},
url = {http://eudml.org/doc/288490},
volume = {15},
year = {2017},
}

TY - JOUR
AU - Haiyan Xuan
AU - Lixin Song
AU - Muhammad Amin
AU - Yongxia Shi
TI - Quasi-maximum likelihood estimator of Laplace (1, 1) for GARCH models
JO - Open Mathematics
PY - 2017
VL - 15
IS - 1
SP - 1539
EP - 1548
AB - 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.
LA - eng
KW - Asymptotic normality; GARCH model; Laplace (1,1); Quasi-maximum likelihood estimator; Strong consistency
UR - http://eudml.org/doc/288490
ER -