Asymptotic Optimality of Estimating Function Estimator for CHARN Model
Author
Source
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-07-03
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Economics & Business Administration
Business Administration
Abstract EN
CHARN model is a famous and important model in the finance, which includes many financial time series models and can be assumed as the return processes of assets.
One of the most fundamental estimators for financial time series models is the conditional least squares (CL) estimator.
However, recently, it was shown that the optimal estimating function estimator (G estimator) is better than CL estimator for some time series models in the sense of efficiency.
In this paper, we examine efficiencies of CL and G estimators for CHARN model and derive the condition that G estimator is asymptotically optimal.
American Psychological Association (APA)
Amano, Tomoyuki. 2012. Asymptotic Optimality of Estimating Function Estimator for CHARN Model. Advances in Decision Sciences،Vol. 2012, no. 2012, pp.1-11.
https://search.emarefa.net/detail/BIM-477794
Modern Language Association (MLA)
Amano, Tomoyuki. Asymptotic Optimality of Estimating Function Estimator for CHARN Model. Advances in Decision Sciences No. 2012 (2012), pp.1-11.
https://search.emarefa.net/detail/BIM-477794
American Medical Association (AMA)
Amano, Tomoyuki. Asymptotic Optimality of Estimating Function Estimator for CHARN Model. Advances in Decision Sciences. 2012. Vol. 2012, no. 2012, pp.1-11.
https://search.emarefa.net/detail/BIM-477794
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-477794