Semiparametric efficient adaptive estimation of asymmetric GARCH models
- Author
- YIGUO SUN1 ; STENGOS, Thanasis1
[1] Department of Economics, University of Guelph, Guelph, Ont., NIG 2W1, Canada - Source
Journal of econometrics. 2006, Vol 133, Num 1, pp 373-386, 14 p ; ref : 25 ref
- CODEN
- JECMB6
- ISSN
- 0304-4076
- Scientific domain
- Control theory, operational research; Mathematics
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Author keyword
- Asymmetric GARCH C14 C22 Semiparametric adaptive estimation
- Keyword (fr)
- Analyse donnée Donnée économique Econométrie Efficacité estimateur Estimation adaptative Estimation statistique Fonction noyau Loi conditionnelle Maximum vraisemblance Méthode Newton Raphson Méthode semiparamétrique Méthode statistique Méthode à pas Modèle GARCH Quasi vraisemblance
- Keyword (en)
- Data analysis Economic data Econometrics Estimator efficiency Adaptive estimation Statistical estimation Kernel function Conditional distribution Maximum likelihood Newton Raphson method Semiparametric method Statistical method Step method GARCH model Quasi likelihood
- Keyword (es)
- Análisis datos Dato económico Econometría Eficacia estimador Estimación adaptativa Estimación estadística Función núcleo Ley condicional Maxima verosimilitud Método Newton Raphson Método semiparamétrico Método estadístico Método a paso
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02H Nonparametric inference
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02M Inference from stochastic processes; time series analysis
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02N Applications / 001A02H02N2 Insurance, economics, finance
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 17994145
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.jeconom.2005.03.019 
https://dx.doi.org/10.1016/j.jeconom.2005.03.019
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