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Please use this identifier to cite or link to this item: http://ir.ncue.edu.tw/ir/handle/987654321/14087

Title: On Estimating the Parameters in Conditional Heteroskedasticity Models by Empirical Likelihood Estimation
Authors: Cheng, Tsung-Lin;Wang, Shiang-Yuan
Contributors: 數學系
Keywords: GARCH;Empirical likelihood estimation;Oil price
Date: 2010
Issue Date: 2012-09-10T06:04:02Z
Publisher: American Statistiacl Association
Abstract: In most time series models, the data sets that we might be confront with are not statistically independent. While the celebrated empirical likelihood (EL) estimation proposed by owen (1988) has been widely used in a framework of independent data without having to know the distribution of the population, it is also challenging to apply EL estimation to the models with dependent data. In this talk, we will exploit EL method to estimate the parameters emerging in some important econometrical models including ARCH, GARCH, EGARCH and TGARCH. In addition, we conduct some illustrative simulations to compare EL approach with other methods of estimation (e.g. MLE and OLS). Finally, we analyze the data of the West Texas Intermediate (WTI) Crude Oil Prices by fitting it into the GARCH model.
Relation: The 2010 Joint Statistical Meetings in Vancouver, British Columbia
Appears in Collections:[數學系] 會議論文

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