Chapter 9. Optimal Inference and Alternatives to the QMLE

  1. Christian Francq1 and
  2. Jean-Michel Zakoïan1,2

Published Online: 14 JUL 2010

DOI: 10.1002/9780470670057.ch9

GARCH Models: Structure, Statistical Inference and Financial Applications

GARCH Models: Structure, Statistical Inference and Financial Applications

How to Cite

Francq, C. and Zakoïan, J.-M. (2010) Optimal Inference and Alternatives to the QMLE, in GARCH Models: Structure, Statistical Inference and Financial Applications, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/9780470670057.ch9

Author Information

  1. 1

    University Lille 3, Lille, France

  2. 2

    CREST, Paris, France

Publication History

  1. Published Online: 14 JUL 2010
  2. Published Print: 23 JUL 2010

ISBN Information

Print ISBN: 9780470683910

Online ISBN: 9780470670057

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Keywords:

  • optimal inference and alternatives to QMLE;
  • QML method - commonly used estimation method for GARCH models;
  • attractive features of method - asymptotic properties of QMLE being valid under mild assumptions;
  • Maximum Likelihood Estimator (MLE);
  • densities ensuring QMLE optimality;
  • semiparametric models and adaptive estimators;
  • MLE with misspecified density;
  • Laplace QML;
  • Laplace QML for a usual GARCH model;
  • alternative estimation methods

Summary

This chapter contains sections titled:

  • Maximum Likelihood Estimator

  • Maximum Likelihood Estimator with Misspecified Density

  • Alternative Estimation Methods

  • Bibliographical Notes

  • Exercises