Quasi-Likelihood Estimation in Volatility Models for Semi-Continuous Time Series
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F24%3A10488933" target="_blank" >RIV/00216208:11320/24:10488933 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=ufL8Z.XEFj" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=ufL8Z.XEFj</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1111/jtsa.12741" target="_blank" >10.1111/jtsa.12741</a>
Alternative languages
Result language
angličtina
Original language name
Quasi-Likelihood Estimation in Volatility Models for Semi-Continuous Time Series
Original language description
Time series containing non-negligible portion of possibly dependent zeros, whereas the remaining observations are positive, are considered. They are regarded as GARCH processes consisting of non-negative values. Our first aim lies in estimation of the omnibus model parameters taking into account the semi-continuous distribution. The hurdle distribution together with dependent zeros cause that the classical GARCH estimation techniques fail. Two different quasi-likelihood approaches are employed. Both estimators are proved to be strongly consistent and asymptotically normal. The second goal consists in the proposed predictions with bootstrap add-ons. The considered class of models can be reformulated as multiplicative error models. The empirical properties are illustrated in a simulation study, which demonstrates computational efficiency of the employed methods. The developed techniques are presented through an actuarial problem concerning insurance claims.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Time Series Analysis
ISSN
0143-9782
e-ISSN
1467-9892
Volume of the periodical
45
Issue of the periodical within the volume
6
Country of publishing house
GB - UNITED KINGDOM
Number of pages
25
Pages from-to
859-883
UT code for WoS article
001203418800001
EID of the result in the Scopus database
2-s2.0-85190457065