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Pseudo-likelihood estimation in ARCH model

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Pseudo-likelihood estimation in ARCH model. / Mukherjee, Kanchan.
In: Canadian Journal of Statistics, Vol. 34, No. 2, 06.2006, p. 341-356.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Mukherjee, K 2006, 'Pseudo-likelihood estimation in ARCH model', Canadian Journal of Statistics, vol. 34, no. 2, pp. 341-356. https://doi.org/10.1002/cjs.5550340210

APA

Mukherjee, K. (2006). Pseudo-likelihood estimation in ARCH model. Canadian Journal of Statistics, 34(2), 341-356. https://doi.org/10.1002/cjs.5550340210

Vancouver

Mukherjee K. Pseudo-likelihood estimation in ARCH model. Canadian Journal of Statistics. 2006 Jun;34(2):341-356. doi: 10.1002/cjs.5550340210

Author

Mukherjee, Kanchan. / Pseudo-likelihood estimation in ARCH model. In: Canadian Journal of Statistics. 2006 ; Vol. 34, No. 2. pp. 341-356.

Bibtex

@article{0dee9d0b4d5d44c6bcc610bc14bdc2b4,
title = "Pseudo-likelihood estimation in ARCH model",
abstract = "The author presents asymptotic results for the class of pseudo-likelihood estimators in the autoregressive conditional heteroscedastic models introduced by Engle (1982). Unlike what is required for the quasi-likelihood estimator, some estimators in the class he considers do not require the finiteness of the fourth moment of the error density. Thus his method is applicable to heavy-tailed error distributions for which moments higher than two may not exist. ",
keywords = "ARCH model, pseudo-likelihood estimators",
author = "Kanchan Mukherjee",
year = "2006",
month = jun,
doi = "10.1002/cjs.5550340210",
language = "English",
volume = "34",
pages = "341--356",
journal = "Canadian Journal of Statistics",
issn = "0319-5724",
publisher = "Statistical Society of Canada",
number = "2",

}

RIS

TY - JOUR

T1 - Pseudo-likelihood estimation in ARCH model

AU - Mukherjee, Kanchan

PY - 2006/6

Y1 - 2006/6

N2 - The author presents asymptotic results for the class of pseudo-likelihood estimators in the autoregressive conditional heteroscedastic models introduced by Engle (1982). Unlike what is required for the quasi-likelihood estimator, some estimators in the class he considers do not require the finiteness of the fourth moment of the error density. Thus his method is applicable to heavy-tailed error distributions for which moments higher than two may not exist.

AB - The author presents asymptotic results for the class of pseudo-likelihood estimators in the autoregressive conditional heteroscedastic models introduced by Engle (1982). Unlike what is required for the quasi-likelihood estimator, some estimators in the class he considers do not require the finiteness of the fourth moment of the error density. Thus his method is applicable to heavy-tailed error distributions for which moments higher than two may not exist.

KW - ARCH model

KW - pseudo-likelihood estimators

U2 - 10.1002/cjs.5550340210

DO - 10.1002/cjs.5550340210

M3 - Journal article

VL - 34

SP - 341

EP - 356

JO - Canadian Journal of Statistics

JF - Canadian Journal of Statistics

SN - 0319-5724

IS - 2

ER -