Matches in SemOpenAlex for { <https://semopenalex.org/work/W3147299488> ?p ?o ?g. }
Showing items 1 to 85 of
85
with 100 items per page.
- W3147299488 abstract "The asymptotic distribution of the QML estimator for GARCH processes, with coefficients possibly equal to zero, is established. This distribution is the projection of a normal vector distribution onto a convex cone. The results are derived under mild conditions which, for important subclasses, coincide with those made in the recent literature when the coefficients are positive. The QML estimator is shown to converge to its asymptotic distribution locally uniformly. Using these results, we consider the problem of testing that one or several GARCH coefficients are null. The null distribution and the local asymptotic powers of the Wald, score and quasi-likelihood ratio tests are derived. Asymptotic optimality issues are addressed. A set of numerical experiments illustrates the practical relevance of our theoretical results" @default.
- W3147299488 created "2021-04-13" @default.
- W3147299488 creator A5031069317 @default.
- W3147299488 creator A5068286603 @default.
- W3147299488 date "2006-01-01" @default.
- W3147299488 modified "2023-09-23" @default.
- W3147299488 title "Inference in GARCH when some coefficients are equal to zero" @default.
- W3147299488 hasPublicationYear "2006" @default.
- W3147299488 type Work @default.
- W3147299488 sameAs 3147299488 @default.
- W3147299488 citedByCount "0" @default.
- W3147299488 crossrefType "posted-content" @default.
- W3147299488 hasAuthorship W3147299488A5031069317 @default.
- W3147299488 hasAuthorship W3147299488A5068286603 @default.
- W3147299488 hasConcept C105795698 @default.
- W3147299488 hasConcept C110121322 @default.
- W3147299488 hasConcept C119047807 @default.
- W3147299488 hasConcept C120639 @default.
- W3147299488 hasConcept C134306372 @default.
- W3147299488 hasConcept C149782125 @default.
- W3147299488 hasConcept C151201525 @default.
- W3147299488 hasConcept C154945302 @default.
- W3147299488 hasConcept C169857963 @default.
- W3147299488 hasConcept C185429906 @default.
- W3147299488 hasConcept C191988596 @default.
- W3147299488 hasConcept C203274628 @default.
- W3147299488 hasConcept C203763787 @default.
- W3147299488 hasConcept C23922673 @default.
- W3147299488 hasConcept C2776214188 @default.
- W3147299488 hasConcept C28826006 @default.
- W3147299488 hasConcept C33923547 @default.
- W3147299488 hasConcept C41008148 @default.
- W3147299488 hasConcept C65778772 @default.
- W3147299488 hasConcept C77088390 @default.
- W3147299488 hasConcept C87007009 @default.
- W3147299488 hasConcept C91602232 @default.
- W3147299488 hasConceptScore W3147299488C105795698 @default.
- W3147299488 hasConceptScore W3147299488C110121322 @default.
- W3147299488 hasConceptScore W3147299488C119047807 @default.
- W3147299488 hasConceptScore W3147299488C120639 @default.
- W3147299488 hasConceptScore W3147299488C134306372 @default.
- W3147299488 hasConceptScore W3147299488C149782125 @default.
- W3147299488 hasConceptScore W3147299488C151201525 @default.
- W3147299488 hasConceptScore W3147299488C154945302 @default.
- W3147299488 hasConceptScore W3147299488C169857963 @default.
- W3147299488 hasConceptScore W3147299488C185429906 @default.
- W3147299488 hasConceptScore W3147299488C191988596 @default.
- W3147299488 hasConceptScore W3147299488C203274628 @default.
- W3147299488 hasConceptScore W3147299488C203763787 @default.
- W3147299488 hasConceptScore W3147299488C23922673 @default.
- W3147299488 hasConceptScore W3147299488C2776214188 @default.
- W3147299488 hasConceptScore W3147299488C28826006 @default.
- W3147299488 hasConceptScore W3147299488C33923547 @default.
- W3147299488 hasConceptScore W3147299488C41008148 @default.
- W3147299488 hasConceptScore W3147299488C65778772 @default.
- W3147299488 hasConceptScore W3147299488C77088390 @default.
- W3147299488 hasConceptScore W3147299488C87007009 @default.
- W3147299488 hasConceptScore W3147299488C91602232 @default.
- W3147299488 hasLocation W31472994881 @default.
- W3147299488 hasOpenAccess W3147299488 @default.
- W3147299488 hasPrimaryLocation W31472994881 @default.
- W3147299488 hasRelatedWork W113332069 @default.
- W3147299488 hasRelatedWork W146627747 @default.
- W3147299488 hasRelatedWork W1525058801 @default.
- W3147299488 hasRelatedWork W1553958582 @default.
- W3147299488 hasRelatedWork W1851723323 @default.
- W3147299488 hasRelatedWork W1972013689 @default.
- W3147299488 hasRelatedWork W1980541697 @default.
- W3147299488 hasRelatedWork W2072986477 @default.
- W3147299488 hasRelatedWork W2092805495 @default.
- W3147299488 hasRelatedWork W2118643627 @default.
- W3147299488 hasRelatedWork W2143462811 @default.
- W3147299488 hasRelatedWork W2159291228 @default.
- W3147299488 hasRelatedWork W2187271494 @default.
- W3147299488 hasRelatedWork W2793098684 @default.
- W3147299488 hasRelatedWork W2950050862 @default.
- W3147299488 hasRelatedWork W2950679682 @default.
- W3147299488 hasRelatedWork W3121286729 @default.
- W3147299488 hasRelatedWork W3143490802 @default.
- W3147299488 hasRelatedWork W3168054971 @default.
- W3147299488 hasRelatedWork W1201345869 @default.
- W3147299488 isParatext "false" @default.
- W3147299488 isRetracted "false" @default.
- W3147299488 magId "3147299488" @default.
- W3147299488 workType "article" @default.