QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS (Q3224041): Difference between revisions

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+MaRDI publication profile
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+Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
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+Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons
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+Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
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+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Asymptotic theory for multivariate GARCH processes.
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+Stationarity of GARCH processes and of some nonnegative time series
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+Strict stationarity of generalized autoregressive processes
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+Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
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+Multivariate GARCH Models
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+Estimation and tests for power-transformed and threshold GARCH models
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+Generalized autoregressive conditional heteroscedasticity
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+GARCH processes: structure and estimation
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+Testing for volatility interactions in the Constant Conditional Correlation GARCH model
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+PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS
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+Regular variation of GARCH processes.
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+Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
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+Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
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+Break detection in the covariance structure of multivariate time series models
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+Testing When a Parameter is on the Boundary of the Maintained Hypothesis
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+AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
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+ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
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