Semiparametric efficient adaptive estimation of asymmetric GARCH models

Journal of Econometrics

Volumn 133, Issue 1, 2006, Pages 373-386

  Sun, Yiguo ^a   Stengos, Thanasis ^a  

^a UNIVERSITY OF GUELPH   (Canada)

Author keywords

Asymmetric GARCH; Semiparametric adaptive estimation

Indexed keywords

ADAPTIVE ALGORITHMS; COMPUTER SIMULATION; MATHEMATICAL MODELS; PROBABILITY DENSITY FUNCTION; STANDARDS; STATISTICAL METHODS;

ASYMMETRIC GARCH; SEMIPARAMETRIC ADAPTIVE ESTIMATION; STANDARD DEVIATION MODEL;

PARAMETER ESTIMATION;

EID: 33745871154     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.03.019     Document Type: Article

References (25)

1. Andrews, D.W.K., 1994. Empirical process methods in econometrics. Handbook of Econometrics, vol. 4. North Holland, New York, pp. 2247-2294 (Chapter 2).
2. Baillie R.T., and Bolleslev T. The message in daily exchange rates: a conditional volatility. Journal of Business and Economic Statistics 7 (1989) 297-305
3. Bickel P.J., Klaassen C.A.J., Ritov Y., and Wellner J.A. Efficient and Adaptive Estimation Semiparametric Models (1993), Johns Hopkins University Press, Baltimore
4. Bollerslev T. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31 (1986) 307-327
5. Bollerslev T., and Wooldridge J.M. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Econometric Reviews 11 (1992) 143-172
6. Drost F.C., and Klaassen C.A.J. Efficient estimation in semiparametric GARCH models. Journal of Econometrics 81 (1997) 193-221
7. Drost F.C., Klaassen C.A.J., and Werker B.J.M. Adaptive estimation in time-series models. The Annals of Statistics 25 (1997) 786-818
8. Engle R.F. Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation. Econometrica 50 (1982) 987-1008
9. Engle R.F., and Ng V.K. Measuring and testing the impact of news on volatility. Journal of Finance 48 (1993) 1749-1778
10. Engle R.F., Lilien D.M., and Robins R.P. Estimating time varying risk premia in the term structure: the ARCH-M model. Econometrica 55 (1987) 391-407
11. Hájek J. A characterization of limiting distributions of regular estimates. Z. Wahrsch. Verw. Gebiete 14 (1970) 323-330
12. Hentschel L. All in the family: nesting symmetric and asymmetric GARCH models. Journal of Financial Economics 39 (1995) 71-104
13. Koul, H.L., Schick, A., 1995. Efficient estimation in nonlinear time series models. Technical report, Department of Statistics and Probability, Michigan State University.
14. Lee S.W., and Hansen B.E. Asymptotic theory for the GARCH(1,1) quasi-maximum likelihood estimator. Econometric Theory 10 (1994) 29-52
15. Nelson D.B. Stationary and persistence in the GARCH(1,1) model. Econometric Theory 6 (1990) 318-334
16. Newey W.K. Semiparametric efficient bounds. Journal of Applied Econometrics 5 (1990) 99-135
17. Newey W.K., and Steigerwald D.G. Asymptotic bias for quasi-maximum-likelihood estimators in conditional heteroskedasticity models. Econometrica 65 (1997) 587-599
18. Pagan A., and Schwert G.W. Alternative models for conditional stock volatility. Journal of Econometrics 45 (1990) 267-290
19. Schick A. On asymmetrically efficient estimation in semiparametric models. The Annals of Statistics 14 (1986) 1139-1151
20. Schwert G.W. Why does stock market volatility change over time?. Journal of Finance 44 (1989) 1115-1154
21. Sun, Y., 2004. Decomposing densities of stock indexes returns. Manuscript, University of Guelph.
22. Sun, Y., Stengos, T., 2003. Semiparametric efficient adaptive estimation of asymmetric GARCH models: theory and evidence. Manuscript, University of Guelph.
23. Taylor S. Modeling Financial Time Series (1986), Wiley, New York, NY
24. Weiss A.A. Asymptotic theory for ARCH models: estimation and testing. Econometrics Theory 2 (1986) 107-131
25. White H. Asymptotic Theory for Econometricians (1984), Academic Press, Orlando