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Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models

Ling, Shiqing - In: Journal of econometrics 140 (2007) 2, pp. 849-873

Persistent link: https://www.econbiz.de/10003569985

Asymptotic inference for nonstationary fractionally integrated autoregressive moving-average models

Ling, Shiqing; Li, Wai Keung - In: Econometric theory 17 (2001) 4, pp. 738-764

Persistent link: https://www.econbiz.de/10001606782

Self-weighted LSE and residual-based QMLE of ARMA-GARCH models

Ling, Shiqing; Zhu, Ke - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-17

This paper studies the self-weighted least squares estimator (SWLSE) of the ARMA model with GARCH noises. It is shown that the SWLSE is consistent and asymptotically normal when the GARCH noise does not have a finite fourth moment. Using the residuals from the estimated ARMA model, it is shown...

Persistent link: https://www.econbiz.de/10012888234

The global weighted LAD estimators for finite/infinite variance ARMA (p,q) models

Zhu, Ke; Ling, Shiqing - In: Econometric theory 28 (2012) 5, pp. 1065-1086

Persistent link: https://www.econbiz.de/10009714722

Diagnostic checking for non-stationary ARMA models with an application to financial data

Ling, Shiqing; Zhu, Ke; Yee, Chong Ching - In: The North American journal of economics and finance : a … 26 (2013), pp. 624-639

Persistent link: https://www.econbiz.de/10010370490

Goodness-of-fit test for nonlinear time series models

Han, Ngai Sze; Ling, Shiqing - In: Annals of financial economics 12 (2017) 2, pp. 1-21

Persistent link: https://www.econbiz.de/10011716102