asymptotic optimality of estimating function estimator for charn model估计函数为charn估计模型的渐近最优性.pdfVIP

Hindawi Publishing Corporation Advances in Decision Sciences Volume 2012, Article ID 515494, 11 pages doi:10.1155/2012/515494 Research Article Asymptotic Optimality of Estimating Function Estimator for CHARN Model Tomoyuki Amano Faculty of Economics, Wakayama University, 930 Sakaedani, Wakayama 640-8510, Japan Correspondence should be addressed to Tomoyuki Amano, tomchami@center.wakayama-u.ac.jp Received 15 February 2012; Accepted 9 April 2012 Academic Editor: Hiroshi Shiraishi Copyright q 2012 Tomoyuki Amano. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. 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. 1. Introduction The conditional least squares CL estimator is one of the most fundamental estimators for financial time series models. It has the two advantages which can be calculated with ease and does not need the knowledge about the innovation process i.e., error term. Hence this convenient estimator has been widely used for many financial time series models. However, Amano and Taniguchi 1 proved it is not good in the sense of the efficiency for ARCH model, which