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Estimating the ARCH parameters by solving linear equations.

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Estimating the ARCH parameters by solving linear equations. / Mukherjee, Kanchan; Bose, Arup.
In: Journal of Time Series Analysis, Vol. 24, No. 2, 03.2003, p. 127-136.

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

Harvard

Mukherjee, K & Bose, A 2003, 'Estimating the ARCH parameters by solving linear equations.', Journal of Time Series Analysis, vol. 24, no. 2, pp. 127-136. https://doi.org/10.1111/1467-9892.00296

APA

Mukherjee, K., & Bose, A. (2003). Estimating the ARCH parameters by solving linear equations. Journal of Time Series Analysis, 24(2), 127-136. https://doi.org/10.1111/1467-9892.00296

Vancouver

Mukherjee K, Bose A. Estimating the ARCH parameters by solving linear equations. Journal of Time Series Analysis. 2003 Mar;24(2):127-136. doi: 10.1111/1467-9892.00296

Author

Mukherjee, Kanchan ; Bose, Arup. / Estimating the ARCH parameters by solving linear equations. In: Journal of Time Series Analysis. 2003 ; Vol. 24, No. 2. pp. 127-136.

Bibtex

@article{4a8678aee1fe44a1a93d1e2b942ae797,
title = "Estimating the ARCH parameters by solving linear equations.",
abstract = "This paper discusses the asymptotics of two-stage least squares estimator of the parameters of ARCH models. The estimator is easy to obtain since it involves solving two sets of linear equations. At the same time, the estimator has the same asymptotic efficiency as that of the widely used quasi-maximum likelihood estimator. Simulation results show that, even for small sample size, the performance of our estimator compared to the quasi-maximum likelihood estimator is better.",
author = "Kanchan Mukherjee and Arup Bose",
note = "RAE_import_type : Journal article RAE_uoa_type : Statistics and Operational Research",
year = "2003",
month = mar,
doi = "10.1111/1467-9892.00296",
language = "English",
volume = "24",
pages = "127--136",
journal = "Journal of Time Series Analysis",
issn = "0143-9782",
publisher = "Wiley-Blackwell",
number = "2",

}

RIS

TY - JOUR

T1 - Estimating the ARCH parameters by solving linear equations.

AU - Mukherjee, Kanchan

AU - Bose, Arup

N1 - RAE_import_type : Journal article RAE_uoa_type : Statistics and Operational Research

PY - 2003/3

Y1 - 2003/3

N2 - This paper discusses the asymptotics of two-stage least squares estimator of the parameters of ARCH models. The estimator is easy to obtain since it involves solving two sets of linear equations. At the same time, the estimator has the same asymptotic efficiency as that of the widely used quasi-maximum likelihood estimator. Simulation results show that, even for small sample size, the performance of our estimator compared to the quasi-maximum likelihood estimator is better.

AB - This paper discusses the asymptotics of two-stage least squares estimator of the parameters of ARCH models. The estimator is easy to obtain since it involves solving two sets of linear equations. At the same time, the estimator has the same asymptotic efficiency as that of the widely used quasi-maximum likelihood estimator. Simulation results show that, even for small sample size, the performance of our estimator compared to the quasi-maximum likelihood estimator is better.

U2 - 10.1111/1467-9892.00296

DO - 10.1111/1467-9892.00296

M3 - Journal article

VL - 24

SP - 127

EP - 136

JO - Journal of Time Series Analysis

JF - Journal of Time Series Analysis

SN - 0143-9782

IS - 2

ER -