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

doi:10.1007/s10255-017-0694-x

CORC > 数学与系统科学研究院 > 中国科学院数学与系统科学研究院 > 应用数学研究所

	M-estimation for periodic GARCH model with high-frequency data
	Fan, Peng-ying 1; Wu, Si-xin 2; Zhao, Zi-long 2; Chen, Min2
刊名	ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES
	2017-07-01
卷号	33 期号:3 页码:717-730
关键词	asymptotic normality consistency high-frequency data PGARCH model M-estimator
ISSN号	0168-9673
DOI	10.1007/s10255-017-0694-x
英文摘要	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.
资助项目	National Natural Science Foundation of China[71673315] ; Foundation of Beijing Technology and Business University[LKJJ2016-03] ; Capital Circulation Research Base[JD-YB-2017-016]
WOS研究方向	Mathematics
语种	英语
出版者	SPRINGER HEIDELBERG
WOS记录号	WOS:000407493700014
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/26267]
专题	应用数学研究所
通讯作者	Fan, Peng-ying
作者单位	1.Beijing Technol & Business Univ, Sch Econ, Beijing 100048, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Fan, Peng-ying,Wu, Si-xin,Zhao, Zi-long,et al. M-estimation for periodic GARCH model with high-frequency data[J]. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,2017,33(3):717-730.
APA	Fan, Peng-ying,Wu, Si-xin,Zhao, Zi-long,&Chen, Min.(2017).M-estimation for periodic GARCH model with high-frequency data.ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,33(3),717-730.
MLA	Fan, Peng-ying,et al."M-estimation for periodic GARCH model with high-frequency data".ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES 33.3(2017):717-730.