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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2005.3
- 수록면
- 33 - 40 (8page)
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초록· 키워드
오류제보하기
The estimating function method was proposed by Godambe(1985) for parameter estimation under unknown distributions for errors in the models. Threshold Autoregressive Heteroscedastic (Threshold-ARCH) models have been developed by Zakoian(1994) and Li and Li(1996) for explaining the asymmetric properties in the financial time series data. In this paper, we apply the estimating function method to the Threshold-ARCH model and show that the proposed estimators perform better than the MLE under the heavy-tailed distributions.
목차
등록된 정보가 없습니다.
참고문헌 (15)
참고문헌 신청
[학술지(정기간행물)] - / 1986 / Journal of Econometrics : 307 ~ 327
[학술지(정기간행물)] - / 1988 / “Quasi-Maximum likelihood Estimation of Dynamic Models with Time Varying Covariance : 143 ~ 172
[학술지(정기간행물)] - / 2001 / Estimating Function for Nonlinear Time Series Models 53 : 125 ~ 141
[학술지(정기간행물)] - / 1997 / JOptimal estimating functions, quasi-likelihood and statistical modeling" : 77 ~ 121
[학술지(정기간행물)] - / 1997 / Efficient Estimation in Semi-parametric GARCH Models 81 : pp. 193. ~ -221
[학술지(정기간행물)] - / 1988 / “Quasi-Maximum likelihood Estimation of Dynamic Models with Time Varying Covariance : 143 ~ 172
[학술지(정기간행물)] - / 2001 / Estimating Function for Nonlinear Time Series Models 53 : 125 ~ 141
[학술지(정기간행물)] - / 1997 / JOptimal estimating functions, quasi-likelihood and statistical modeling" : 77 ~ 121
[학술지(정기간행물)] - / 1997 / Efficient Estimation in Semi-parametric GARCH Models 81 : pp. 193. ~ -221
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UCI(KEPA) : I410-ECN-0101-2018-041-001392838