Asymptotic Optimality of Estimating Function Estimator for CHARN Model英文文献资料.docVIP

HindawiPublishingCorporation AdvancesinDecisionSciences Volume2012,ArticleID515494,11pages doi:10.1155/2012/515494 ResearchArticle Asymptotic Optimality ofEstimating Function EstimatorforCHARNModel TomoyukiAmano FacultyofEconomics, WakayamaUniversity,930Sakaedani, Wakayama640-8510, Japan Correspondence shouldbeaddressedtoTomoyukiAmano,tomchami@center.wakayama-u.ac.jp Received15February2012;Accepted 9April2012 Academic Editor:HiroshiShiraishi Copyright q2012TomoyukiAmano. Thisisanopenaccessarticledistributed undertheCreative Commons Attribution License, which permits unrestricted use,distribution, andreproduction in anymedium,providedtheoriginalworkisproperlycited. CHARN model isafamous and important model inthe ?nance, which includes many ?nancial time series models and can be assumed as the return processes of assets. One of the most fundamental estimators for ?nancial 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 e?ciency. In this paper, we examine e?ciencies of CL and G estimators for CHARN model and derive the condition thatGestimator isasymptotically optimal. 1. Introduction TheconditionalleastsquaresCLestimatorisoneofthemostfundamentalestimatorsfor ?nancial timeseries models. Ithas thetwoadvantages whichcan becalculated withease anddoesnotneedtheknowledgeabouttheinnovationprocessi.e.,errorterm.Hencethis convenientestimatorhasbeenwidelyusedformany?nancialtimeseriesmodels.However, AmanoandTaniguchi1proveditisnotgoodinthesenseofthee?ciencyforARCHmodel, whichisthemostfamous?nancialtimeseriesmodel. TheestimatingfunctionestimatorwasintroducedbyGodambe2,3andHansen 4. Recently, Chandra and Taniguchi 5 constructed the optimal estimating function estimatorGestimatorfortheparametersoftherandomcoe?cientautoregressiveRCA model,whichwasintroducedtodescribeoccasi