Aknouche, Abdelhakim and AlEid, Eid and Demouche, Nacer (2016): Generalized quasimaximum likelihood inference for periodic conditionally heteroskedastic models.
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Abstract
This paper establishes consistency and asymptotic normality of the generalized quasimaximum likelihood estimate (GQMLE) for a general class of periodic conditionally heteroskedastic time series models (PCH). In this class of models, the volatility is expressed as a measurable function of the infinite past of the observed process with periodically timevarying parameters, while the innovation of the model is an independent and periodically distributed sequence. In contrast with the aperiodic case, the proposed GQMLE is rather based on S instrumental density functions where S is the period of the model while the corresponding asymptotic variance is in a "sandwich" form. Application to the periodic GARCH and the periodic asymmetric power GARCH model is given. Moreover, we discuss how to apply the GQMLE to the prediction of power problem in a onestep framework and to PCH models with complex periodic patterns such as high frequency seasonality and noninteger seasonality.
Item Type:  MPRA Paper 

Original Title:  Generalized quasimaximum likelihood inference for periodic conditionally heteroskedastic models 
English Title:  Generalized quasimaximum likelihood inference for periodic conditionally heteroskedastic models 
Language:  English 
Keywords:  Periodic conditionally heteroskedastic models, periodic asymmetric power GARCH, generalized QML estimation, consistency and asymptotic normality, prediction of powers, high frequency periodicity, noninteger periodicity. 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C13  Estimation: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C18  Methodological Issues: General C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C51  Model Construction and Estimation C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C58  Financial Econometrics 
Item ID:  75894 
Depositing User:  Prof. Abdelhakim Aknouche 
Date Deposited:  31 Dec 2016 01:40 
Last Modified:  31 Dec 2016 01:42 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/75894 
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Generalized quasimaximum likelihood inference for periodic conditionally heteroskedastic models. (deposited 25 Dec 2016 01:32)
 Generalized quasimaximum likelihood inference for periodic conditionally heteroskedastic models. (deposited 31 Dec 2016 01:40) [Currently Displayed]