Neglecting parameter changes in GARCH models (Q265108): Difference between revisions

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-.1016/j.jeconom.2004.09.005
@@ Property / DOI: 10.1016/j.jeconom.2004.09.005 / rank @@
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+Fractionally integrated generalized autoregressive conditional heteroskedasticity
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+Generalized autoregressive conditional heteroscedasticity
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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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+Q2778805
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+.1016/J.JECONOM.2004.09.005
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