Threshold ARCH(1) processes: asymptotic inference
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hwang, SY | - |
dc.contributor.author | Woo, MJ | - |
dc.date.available | 2021-02-22T16:45:55Z | - |
dc.date.issued | 2001-05 | - |
dc.identifier.issn | 0167-7152 | - |
dc.identifier.issn | 1879-2103 | - |
dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/16658 | - |
dc.description.abstract | This article discusses large sample inference problems for a first-order ARCH(1) process where threshold appears not only in the mean but also in the variance function. Geometric ergodicity of the process is discussed. Least-squares estimators of parameters are derived and relevant limit results are obtained. Also, the uniform local asymptotic normality of the log-likelihood ratio and a class of efficient estimators are briefly discussed. The model is applied to Korean financial time series. (C) 2001 Elsevier Science B.V. All rights reserved. | - |
dc.format.extent | 10 | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.title | Threshold ARCH(1) processes: asymptotic inference | - |
dc.type | Article | - |
dc.publisher.location | 네델란드 | - |
dc.identifier.doi | 10.1016/S0167-7152(00)00222-4 | - |
dc.identifier.scopusid | 2-s2.0-0042867372 | - |
dc.identifier.wosid | 000169303300002 | - |
dc.identifier.bibliographicCitation | STATISTICS & PROBABILITY LETTERS, v.53, no.1, pp 11 - 20 | - |
dc.citation.title | STATISTICS & PROBABILITY LETTERS | - |
dc.citation.volume | 53 | - |
dc.citation.number | 1 | - |
dc.citation.startPage | 11 | - |
dc.citation.endPage | 20 | - |
dc.type.docType | Article | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.subject.keywordPlus | NONLINEAR TIME-SERIES | - |
dc.subject.keywordPlus | MODEL | - |
dc.subject.keywordPlus | ERGODICITY | - |
dc.subject.keywordAuthor | threshold ARCH | - |
dc.subject.keywordAuthor | geometric ergodicity | - |
dc.subject.keywordAuthor | conditional least-squares | - |
dc.subject.keywordAuthor | financial data in Korea | - |
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