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

doi:10.1515/math-2017-0131

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	Quasi-maximum likelihood estimator of Laplace (1,1) for GARCH models
	Xuan, Haiyan 3,4; Song, Lixin 3; Amin, Muhammad 1; Shi, Yongxia 2
刊名	OPEN MATHEMATICS
	2017-12-29
卷号	15 页码:1539-1548
关键词	Asymptotic normality GARCH model Laplace (1,1) Quasi-maximum likelihood estimator Strong consistency
ISSN号	2391-5455
DOI	10.1515/math-2017-0131
英文摘要	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.
资助项目	National Natural Science Foundation of China[11371077]
WOS研究方向	Mathematics
语种	英语
出版者	DE GRUYTER OPEN LTD
WOS记录号	WOS:000422737200007
状态	已发表
内容类型	期刊论文
源URL	[http://119.78.100.223/handle/2XXMBERH/32958]
专题	经济管理学院
通讯作者	Xuan, Haiyan
作者单位	1.NIFA, Peshawar, Pakistan 2.Lanzhou Univ Technol, Sch Sci, Lanzhou, Gansu, Peoples R China 3.Dalian Univ Technol, Sch Math Sci, Dalian, Peoples R China 4.Lanzhou Univ Technol, Sch Econ & Management, Lanzhou, Gansu, Peoples R China
推荐引用方式 GB/T 7714	Xuan, Haiyan,Song, Lixin,Amin, Muhammad,et al. Quasi-maximum likelihood estimator of Laplace (1,1) for GARCH models[J]. OPEN MATHEMATICS,2017,15:1539-1548.
APA	Xuan, Haiyan,Song, Lixin,Amin, Muhammad,&Shi, Yongxia.(2017).Quasi-maximum likelihood estimator of Laplace (1,1) for GARCH models.OPEN MATHEMATICS,15,1539-1548.
MLA	Xuan, Haiyan,et al."Quasi-maximum likelihood estimator of Laplace (1,1) for GARCH models".OPEN MATHEMATICS 15(2017):1539-1548.