Asymptotic Theory for M-estimators in general autoregressive conditional heteroscedasticity models:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Nürnberg
2013
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| Schlagworte: | |
| Online-Zugang: | Volltext Volltext Inhaltsverzeichnis |
| Beschreibung: | XV, 184 S. graph. Darst. |
Internformat
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Datensatz im Suchindex
| _version_ | 1804150723813834752 |
|---|---|
| adam_text | IMAGE 1
CONTENTS
LIST OF FIGURES IX
LIST OF TABLES XI
LIST OF SYMBOLS XI
1 INTRODUCTION 1
2 STATIONARITY, ERGODICITY AND MIXING PROPERTIES OF STOCHASTIC PROCESSES
7
2.1 DEFINITIONS AND BASIC EXAMPLES OF STOCHASTIC PROCESSES 7
2.2 STATIONARITY, ERGODICITY AND MIXING PROPERTIES OF STOCHASTIC
PROCESSES ... 10
3 PROBABILISTIC STRUCTURE OF AUGMENTED GARCH MODELS 17
3.1 STRICT AND WEAK STATIONARITY OF THE AUGMENTED GARCH MODEL 17
3.2 MIXING AND MOMENT CONDITIONS FOR THE AUGMENTED GARCH MODEL .... 25
4 PROPERTIES OF M-ESTIMATORS FOR MIXING PROCESSES 31
4.1 MEASURABILITY AND WEAK CONVERGENCE IN METRIC SPACES 31
4.2 HADAMARD DERIVATIVES AND THE FUNCTIONAL DELTA-METHOD 36
4.3 M-ESTIMATORS FOR STRONG MIXING PROCESSES 41
5 CONSISTENCY OF M-ESTIMATORS IN POLYNOMIAL AUGMENTED GARCH(L.L) MODELS
61
5.1 CONSISTENCY OF THE QUASI-MAXIMUM LIKELIHOOD ESTIMATOR 62
V
HTTP://D-NB.INFO/1042585784
IMAGE 2
CONTENTS
5.2 CONSISTENCY OF THE LEAST ABSOLUTE DEVIATION ESTIMATOR 71
6 ASYMPTOTIC NORMALITY OF M-ESTIMATORS IN POLYNOMIAL AUGMENTED
GARCH(L.L)
MODELS 75
6.1 ASYMPTOTIC NORMALITY OF THE QUASI-MAXIMUM LIKELIHOOD ESTIMATOR 76
6.2 ASYMPTOTIC NORMALITY OF THE LEAST ABSOLUTE DEVIATION ESTIMATOR 87
7 APPLICATION TO M -ESTIMATORS FOR THE LINEAR GARCH(L.L) AND THE
THRESHOLD
GARCH(L.L) MODEL 97
7.1 THE QUASI-MAXIMUM LIKELIHOOD ESTIMATOR AND THE LEAST ABSOLUTE
DEVIATION
ESTIMATOR IN THE LINEAR GARCH(1,1) MODEL 98
7.1.1 CONSISTENCY AND ASYMPTOTIC NORMALITY OF THE QUASI-MAXIMUM LIKE
LIHOOD ESTIMATOR 98
7.1.2 CONSISTENCY AND ASYMPTOTIC NORMALITY OF THE LEAST ABSOLUTE DEVIA
TION ESTIMATOR 102
7.1.3 SIMULATION STUDY 104
7.2 THE QUASI-MAXIMUM LIKELIHOOD ESTIMATOR AND THE LEAST ABSOLUTE
DEVIATION
ESTIMATOR IN THE THRESHOLD GARCH(1,1) MODEL 112
7.2.1 CONSISTENCY AND ASYMPTOTIC NORMALITY OF THE QUASI-MAXIMUM LIKE
LIHOOD ESTIMATOR 113
7.2.2 CONSISTENCY AND ASYMPTOTIC NORMALITY OF THE LEAST ABSOLUTE DEVIA
TION ESTIMATOR 120
7.2.3 SIMULATION STUDY 122
8 CONSISTENCY OF -M -ESTIMATORS IN THE EXPONENTIAL GARCH(L.L) MODEL 129
8.1 CONSISTENCY OF THE QUASI-MAXIMUM LIKELIHOOD ESTIMATOR 132
8.2 CONSISTENCY OF THE LEAST ABSOLUTE DEVIATION ESTIMATOR 137
9 ASYMPTOTIC NORMALITY OF M -ESTIMATORS IN THE EXPONENTIAL GARCH(L.L)
MODEL 139
VI
IMAGE 3
CONTENTS
9.1 ASYMPTOTIC NORMALITY OF THE QUASI-MAXIMUM LIKELIHOOD ESTIMATOR 140
9.2 ASYMPTOTIC NORMALITY OF THE LEAST ABSOLUTE DEVIATION ESTIMATOR 148
9.3 SIMULATION STUDY 150
10 EMPIRICAL APPLICATION: CALCULATING THE VALUE-AT-RISK 159
10.1 EMPIRICAL ANALYSIS OF THE DAX30 RETURNS 160
10.2 CALCULATING THE VALUE-AT-RISK OF THE DAX30 166
11 CONCLUSION 169
REFERENCES 172
VII
|
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| indexdate | 2024-07-10T00:43:28Z |
| institution | BVB |
| language | English |
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| physical | XV, 184 S. graph. Darst. |
| psigel | ebook |
| publishDate | 2013 |
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| spelling | Tinkl, Fabian Verfasser (DE-588)1042585695 aut Asymptotic Theory for M-estimators in general autoregressive conditional heteroscedasticity models vorgelegt von: Fabian Tinkl Nürnberg 2013 XV, 184 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Erlangen-Nürnberg, Univ., Diss., 2013 (DE-588)4113937-9 Hochschulschrift gnd-content Erscheint auch als Online-Ausgabe urn:nbn:de:bvb:29-opus-48796 https://nbn-resolving.org/urn:nbn:de:bvb:29-opus-48796 Resolvingsystem kostenfrei Volltext http://opus4.kobv.de/opus4-fau/frontdoor/index/index/docId/3526 Verlag kostenfrei Volltext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026236408&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Tinkl, Fabian Asymptotic Theory for M-estimators in general autoregressive conditional heteroscedasticity models |
| subject_GND | (DE-588)4113937-9 |
| title | Asymptotic Theory for M-estimators in general autoregressive conditional heteroscedasticity models |
| title_auth | Asymptotic Theory for M-estimators in general autoregressive conditional heteroscedasticity models |
| title_exact_search | Asymptotic Theory for M-estimators in general autoregressive conditional heteroscedasticity models |
| title_full | Asymptotic Theory for M-estimators in general autoregressive conditional heteroscedasticity models vorgelegt von: Fabian Tinkl |
| title_fullStr | Asymptotic Theory for M-estimators in general autoregressive conditional heteroscedasticity models vorgelegt von: Fabian Tinkl |
| title_full_unstemmed | Asymptotic Theory for M-estimators in general autoregressive conditional heteroscedasticity models vorgelegt von: Fabian Tinkl |
| title_short | Asymptotic Theory for M-estimators in general autoregressive conditional heteroscedasticity models |
| title_sort | asymptotic theory for m estimators in general autoregressive conditional heteroscedasticity models |
| topic_facet | Hochschulschrift |
| url | https://nbn-resolving.org/urn:nbn:de:bvb:29-opus-48796 http://opus4.kobv.de/opus4-fau/frontdoor/index/index/docId/3526 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026236408&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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