Hurdle GARCH models for nonnegative time series
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F25%3A10506295" target="_blank" >RIV/00216208:11320/25:10506295 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=Q9N1Z6Sd6z" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=Q9N1Z6Sd6z</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1111/stan.12349" target="_blank" >10.1111/stan.12349</a>
Alternative languages
Result language
angličtina
Original language name
Hurdle GARCH models for nonnegative time series
Original language description
The studied semi-continuous time series contains a nonnegligible portion of observations equal to a single value (typically zero), whereas the remaining outcomes are strictly positive. A novel class of hurdle GARCH models having dependent zero occurrences is considered and the classical maximum likelihood estimation is employed. However, a distribution of the underlying time series innovations does not belong into the exponential family, which together with the dependence of innovations makes the whole inference nonstandard. Consistency and asymptotic normality of the estimator are derived. Efficiency of the estimation is elaborated and compared with the alternative quasi-likelihood approach. A bootstrap prediction is also discussed. An analysis of sparse nonlife insurance claims is performed.
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
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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
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Statistica Neerlandica
ISSN
0039-0402
e-ISSN
1467-9574
Volume of the periodical
79
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
14
Pages from-to
e12349
UT code for WoS article
001268605800001
EID of the result in the Scopus database
2-s2.0-85198091528