Hurdle GARCH models for nonnegative time series

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Hurdle GARCH models for nonnegative time series

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Hurdle GARCH models for nonnegative time series

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2025

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Statistica Neerlandica

ISSN

0039-0402

e-ISSN

1467-9574

Svazek periodika

79

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

14

Strana od-do

e12349

Kód UT WoS článku

001268605800001

EID výsledku v databázi Scopus

2-s2.0-85198091528