Arbeitspapier
Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers
This paper investigates several empirical issues regarding quasimaximum likelihood estimation of Smooth Transition Autoregressive (STAR) models with GARCH errors, specifically STAR-GARCH and STAR-STGARCH. Convergence, the choice of different algorithms for maximising the likelihood function, and the sensitivity of the estimates to outliers and extreme observations, are examined using daily data for S&P 500, Heng Seng and Nikkei 225 for the period January 1986 to April 2000.
- Sprache
-
Englisch
- Erschienen in
-
Series: ISER Discussion Paper ; No. 539
- Klassifikation
-
Wirtschaft
- Thema
-
ARCH-Modell
Theorie
Maximum-Likelihood-Methode
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chan, Felix
MacAleer, Michael
- Ereignis
-
Veröffentlichung
- (wer)
-
Osaka University, Institute of Social and Economic Research (ISER)
- (wo)
-
Osaka
- (wann)
-
2001
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chan, Felix
- MacAleer, Michael
- Osaka University, Institute of Social and Economic Research (ISER)
Entstanden
- 2001
Ähnliche Objekte (12)
Wind power forecasting based on outlier smooth transition autoregressive GARCH model
Erratum to: Wind power forecasting based on outlier smooth transition autoregressive GARCH model
Smooth Transition Spatial Autoregressive Models
The impacts of outliers on different estimators for GARCH processes: an empirical study
Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH
Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH
Shrinkage Estimation of Linear Regression Models with GARCH Errors
Modelling Nigerian banks' share prices using smooth transition GARCH models
Optimal designs for regression models with autoregressive errors structure
On adaptive estimation in nonstationary ARMA models with GARCH errors
Structure and asymptotic theory for nonlinear models with GARCH errors
Correlation Based Ridge Parameters in Ridge Regression with Heteroscedastic Errors and Outliers
Wind power forecasting based on outlier smooth transition autoregressive GARCH model
Erratum to: Wind power forecasting based on outlier smooth transition autoregressive GARCH model
Smooth Transition Spatial Autoregressive Models
The impacts of outliers on different estimators for GARCH processes: an empirical study
Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH
Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH
Shrinkage Estimation of Linear Regression Models with GARCH Errors
Modelling Nigerian banks' share prices using smooth transition GARCH models
Optimal designs for regression models with autoregressive errors structure
On adaptive estimation in nonstationary ARMA models with GARCH errors
Structure and asymptotic theory for nonlinear models with GARCH errors
Correlation Based Ridge Parameters in Ridge Regression with Heteroscedastic Errors and Outliers
Wind power forecasting based on outlier smooth transition autoregressive GARCH model
Erratum to: Wind power forecasting based on outlier smooth transition autoregressive GARCH model
Smooth Transition Spatial Autoregressive Models
The impacts of outliers on different estimators for GARCH processes: an empirical study
Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH
Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH
Shrinkage Estimation of Linear Regression Models with GARCH Errors
Modelling Nigerian banks' share prices using smooth transition GARCH models
Optimal designs for regression models with autoregressive errors structure
On adaptive estimation in nonstationary ARMA models with GARCH errors
Structure and asymptotic theory for nonlinear models with GARCH errors