The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Semiparametric ARCH Models
Abstract
This article introduces a semiparametric autoregressive conditional heteroscedasticity (ARCH) model that has conditional first and second moments given by autoregressive moving average and ARCH parametric formulations but a conditional density that is assumed only to be sufficiently smooth to be approximated by a nonparametric density estimator. For several particular conditional densities, the relative efficiency of the quasi-maximum likelihood estimator is compared with maximum likelihood under correct specification. These potential efficiency gains for a fully adaptive procedure are compared in a Monte Carlo experiment with the observed gains from using the proposed semiparametric procedure, and it is found that the estimator captures a substantial proportion of the potential. The estimator is applied to daily stock returns from small firms that are found to exhibit conditional skewness and kurtosis and to the British pound to dollar exchange rate.
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Citations
Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Self-citationEngle (1990) · doi:10.1093/rfs/3.1.103 · Cited by 229
Cited by
Conditional Heteroskedasticity in Asset Returns: A New Approach
Nelson, D. B. (1991) · Econometrica · doi:10.2307/2938260 · Cited by 10,236
Bollerslev, T., Chou, R. Y., & Kroner, K. F. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90064-x · Cited by 4,270
A long memory property of stock market returns and a new model
Ding, Z., Granger, C. W. J., & Engle, R. F. (1993) · Journal of Empirical Finance · doi:10.1016/0927-5398(93)90006-d · Cited by 3,250
Self-citationQuasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
Bollerslev, T., & Wooldridge, J. M. (1992) · Econometric Reviews · doi:10.1080/07474939208800229 · Cited by 3,217
Christoffersen, P. F. (1998) · International Economic Review · doi:10.2307/2527341 · Cited by 2,669
Metadata
- Authors
- Engle, R. F., & Gonzalez-Rivera, G.
- Venue
- Journal of Business & Economic Statistics
- Publisher
- Informa UK Limited
- Published
- 1991-10
- Volume
- 9
- Issue
- 4
- Pages
- 345-359
- ISSN
- 0735-0015 (ISSN-L)
- 1537-2707
- OpenAlex
- W2055193196
- Cited by
- 470
- References
- 2
- FWCI
- 20.98
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
