This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
|
Activity Number:
|
31
|
|
Type:
|
Contributed
|
|
Date/Time:
|
Sunday, August 1, 2010 : 2:00 PM to 3:50 PM
|
|
Sponsor:
|
Business and Economic Statistics Section
|
| Abstract - #308382 |
|
Title:
|
Asymptotic Theory for Fractionally Integrated Asymmetric Power ARCH Models
|
|
Author(s):
|
Kazuhiko Shinki*+ and Henry Zhengjun Zhang
|
|
Companies:
|
Wayne State University and University of Wisconsin-Madison
|
|
Address:
|
3142 Glouchester Dr., Troy, MI, 48084,
|
|
Keywords:
|
GARCH ;
Long memory ;
Time Series ;
QMLE ;
consistency ;
asymptotic normality
|
|
Abstract:
|
Consistency and Asymptotic normality of quasi-maximum likelihood estimators (QMLEs) for fractionally integrated asymmetric power ARCH (FIAPARCH) process are proved. The moment conditions are assumed only for standardized errors unlike similar literature such as Robinson and Zaffaroni (2006). We show the properties for wide range of QMLEs by using an argument similar to Berkes and Horvath (2004).
|
The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
Back to the full JSM 2010 program
|
2010 JSM Online Program Home
For information, contact jsm@amstat.org or phone (888) 231-3473.
If you have questions about the Continuing Education program, please contact the Education Department.