A conditional least squares approach to PGARCH and PARMA–PGARCH time series estimation

2010 ◽  
Vol 348 (21-22) ◽  
pp. 1211-1216 ◽  
Author(s):  
Abdelouahab Bibi ◽  
Ines Lescheb
Keyword(s):  
Time Series ◽  
Least Squares ◽  
Conditional Least Squares ◽  
Time Series Estimation ◽  
Series Estimation ◽  
Least Squares Approach

scholarly journals Asymptotic Optimality of Estimating Function Estimator for CHARN Model

2012 ◽  
Vol 2012 ◽  
pp. 1-11 ◽  
Author(s):  
Tomoyuki Amano
Keyword(s):  
Time Series ◽  
Least Squares ◽  
Financial Time Series ◽  
Asymptotic Optimality ◽  
Time Series Models ◽  
Estimating Function ◽  
Asymptotically Optimal ◽  
Financial Time ◽  
Conditional Least Squares ◽  
Better Than

CHARN model is a famous and important model in the finance, which includes many financial time series models and can be assumed as the return processes of assets. One of the most fundamental estimators for financial time series models is the conditional least squares (CL) estimator. However, recently, it was shown that the optimal estimating function estimator (G estimator) is better than CL estimator for some time series models in the sense of efficiency. In this paper, we examine efficiencies of CL and G estimators for CHARN model and derive the condition that G estimator is asymptotically optimal.

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