Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes (Q710816): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jspi.2010.06.026
+Normal rank
@@ Property / OpenAlex ID @@
+W2089869042
@@ Property / OpenAlex ID: W2089869042 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
+Normal rank
@@ Property / cites work @@
+GARCH processes: structure and estimation
@@ Property / cites work: GARCH processes: structure and estimation / rank @@
+Normal rank
@@ Property / cites work @@
+The Lindeberg-Levy Theorem for Martingales
@@ Property / cites work: The Lindeberg-Levy Theorem for Martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
+Normal rank
@@ Property / cites work @@
+Stationarity of GARCH processes and of some nonnegative time series
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
+Normal rank
@@ Property / cites work @@
+A Class of Nonlinear Arch Models
@@ Property / cites work: A Class of Nonlinear Arch Models / rank @@
+Normal rank
@@ Property / cites work @@
+Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Estimation and tests for power-transformed and threshold GARCH models
+Normal rank
@@ Property / cites work @@
+Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
+Normal rank