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

被引：0
|
作者：
Peng-ying Fan
Si-xin Wu
Zi-long Zhao
Min Chen
机构：
[1] Beijing Technology and Business University,School of Economics
[2] Chinese Academy of Sciences,Academy of Mathematics and Systems Science
来源：
Acta Mathematicae Applicatae Sinica, English Series | 2017年 / 33卷
关键词：
asymptotic normality; consistency; high-frequency data; PGARCH model; M-estimator; 62F12;
D O I：
暂无
中图分类号：
学科分类号：
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.
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页码：717 / 730
页数：13
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