Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach (Q488612): Difference between revisions

@@ Property / author @@
+Sumit K. Garg
@@ Property / author: Sumit K. Garg / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+F12
@@ Property / Mathematics Subject Classification ID: 62F12 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+P10
@@ Property / Mathematics Subject Classification ID: 62P10 / rank @@
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@@ Property / zbMATH DE Number @@
+6390578
@@ Property / zbMATH DE Number: 6390578 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+GARCH-type
@@ Property / zbMATH Keywords: GARCH-type / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+quasilikelihood
@@ Property / zbMATH Keywords: quasilikelihood / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+quasi-maximum likelihood
@@ Property / zbMATH Keywords: quasi-maximum likelihood / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+skewed \(t\)-distribution
@@ Property / zbMATH Keywords: skewed \(t\)-distribution / rank @@
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@@ Property / MaRDI profile type @@
+Publication
@@ Property / MaRDI profile type: Publication / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jkss.2014.01.005
+Normal rank
@@ Property / OpenAlex ID @@
+W2053445054
@@ Property / OpenAlex ID: W2053445054 / rank @@
+Normal rank
@@ Property / cites work @@
+Handbook of Financial Time Series
@@ Property / cites work: Handbook of Financial Time Series / rank @@
+Normal rank
@@ Property / cites work @@
+Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series
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+Asymmetric GARCH processes featuring both threshold effect and bilinear structure
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+Consistency and asymptotic normality of the maximum likelihood estimator in generalized linear models
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+On Bayesian Modeling of Fat Tails and Skewness
@@ Property / cites work: On Bayesian Modeling of Fat Tails and Skewness / rank @@
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@@ Property / cites work @@
+A Tour in the Asymptotic Theory of GARCH Estimation
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+ARCH models and financial applications
@@ Property / cites work: ARCH models and financial applications / rank @@
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+Estimation in conditionally heteroscedatic time series models.
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+Q3583112
@@ Property / cites work: Q3583112 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3999154
@@ Property / cites work: Q3999154 / rank @@
+Normal rank
@@ Property / cites work @@
+Practical Issues in the Analysis of Univariate GARCH Models
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@@ links / mardi / name / links / mardi / name @@
+Publication:488612