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The ZD-GARCH model : a new way to study heteroscedasticity

Li, Dong; Zhang, Xingfa; Zhu, Ke; Ling, Shiqing - In: Journal of econometrics 202 (2018) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10011974547

Asymptotic theory for a vector ARMA-GARCH model

Ling, Shiqing; McAleer, Michael - In: Econometric theory 19 (2003) 2, pp. 280-310

Persistent link: https://www.econbiz.de/10001743407

Asymptotic theory for a vector ARMA-GARCH model

Ling, Shiqing (contributor); McAleer, Michael (contributor) - 2001 - [Elektronische Ressource]

This paper investigates the asymptotic theory for a vector ARMA-GARCH model. The conditions for the strict stationarity, ergodicity, and the higherorder moments of the model are established. Consistency of the quasi- maximum likelihood estimator (QMLE) is proved under only the second-order...

Persistent link: https://www.econbiz.de/10001644276

Multifrequency-band tests for white noise under heteroscedasticity

Liu, Mengya; Zhu, Fukang; Zhu, Ke - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 799-814

Persistent link: https://www.econbiz.de/10013534533

A new Pearson-type QMLE for conditionally heteroscedastic models

Zhu, Ke; Li, Wai Keung - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 552-565

Persistent link: https://www.econbiz.de/10011403239

Buffered autoregressive models with conditional heteroscedasticity : an application to exchange rates

Zhu, Ke; Li, Wai Keung; Yu, Philip L. H. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 528-542

Persistent link: https://www.econbiz.de/10011893733

Double AR model without intercept : an alternative to modeling nonstationarity and heteroscedasticity

Li, Dong; Shaojun, Guo; Zhu, Ke - In: Econometric reviews 38 (2019) 3, pp. 319-331

Persistent link: https://www.econbiz.de/10012181294