Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models (Q2454005): Difference between revisions

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+W1995981381
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+Minimum Hellinger distance estimates for parametric models
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+The efficiency of the estimators of the parameters in GARCH processes.
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+GARCH processes: structure and estimation
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+Generalized autoregressive conditional heteroscedasticity
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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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+Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models
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+NM-QELE for ARMA-GARCH models with non-Gaussian innovations
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+Inference in Arch and Garch Models with Heavy-Tailed Errors
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+Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations
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+Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
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+Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
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+Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
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+ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
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+Q3552956
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+Testing Statistical Hypotheses
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+ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED 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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+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
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+Estimation and tests for power-transformed and threshold GARCH models
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+Maximum Likelihood Estimation of Misspecified Models
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+On a Mixture GARCH Time-Series Model
@@ Property / cites work: On a Mixture GARCH Time-Series Model / rank @@
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+Publication:2454005