M-estimation for periodic GARCH model with high-frequency data

M-estimation for periodic GARCH model with high-frequency data This paper studies an M-estimator of a proxy periodic GARCH (p, q) scaling model and establishes its consistency and asymptotic normality. Simulation studies are carried out to assess the performance of the estimator. The numerical results show that our M-estimator is more efficient and robust than other estimators without the use of high-frequency data. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

M-estimation for periodic GARCH model with high-frequency data

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Publisher
Springer Berlin Heidelberg
Copyright
Copyright © 2017 by Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag GmbH Germany
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
D.O.I.
10.1007/s10255-017-0694-x
Publisher site
See Article on Publisher Site

References

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