Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models (Q451281): Difference between revisions

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+https://doi.org/10.1016/j.jeconom.2006.07.016
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+W2035370104
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+Regular variation of GARCH processes.
@@ Property / cites work: Regular variation of GARCH processes. / rank @@
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+The efficiency of the estimators of the parameters in GARCH processes.
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+GARCH processes: structure and estimation
@@ Property / cites work: GARCH processes: structure and estimation / rank @@
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+Generalized autoregressive conditional heteroscedasticity
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+Stationarity of GARCH processes and of some nonnegative time series
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+Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors
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+M-estimation for autoregression with infinite variance
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+Adaptive estimation in time-series models
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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+Inference in Arch and Garch Models with Heavy-Tailed Errors
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+\(L_{p}\)-estimators in ARCH models
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+Fitting an error distribution in some heteroscedastic time series models
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+ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
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+On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
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+Estimation and Testing Stationarity for Double-Autoregressive Models
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+Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
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+On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
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+ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
@@ Property / cites work: ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL / rank @@
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+On adaptive estimation in nonstationary ARMA models with GARCH errors
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+Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
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+Parameter estimation for ARMA models with infinite variance innovations
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+Least absolute deviations estimation for ARCH and GARCH models
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+Conditional Heteroscedastic Time Series Models
@@ Property / cites work: Conditional Heteroscedastic Time Series Models / rank @@
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+Publication:451281