Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE (Q738084): Difference between revisions

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-.1016/j.jeconom.2011.08.001
@@ Property / DOI: 10.1016/j.jeconom.2011.08.001 / rank @@
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-Jean-Michel Zakoian
@@ Property / author: Jean-Michel Zakoian / rank @@
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+Jean-Michel Zakoian
@@ Property / author: Jean-Michel Zakoian / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2011.08.001
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+W2012817363
@@ Property / OpenAlex ID: W2012817363 / rank @@
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@@ Property / cites work @@
+Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
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@@ Property / cites work @@
+The efficiency of the estimators of the parameters in GARCH processes.
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@@ Property / cites work @@
+GARCH processes: structure and estimation
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+Generalized autoregressive conditional heteroscedasticity
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+On the efficiency of a semi‐parametric GARCH model
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+Efficient estimation in semiparametric GARCH 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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+Semi-Nonparametric Maximum Likelihood Estimation
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+Inference in Arch and Garch Models with Heavy-Tailed Errors
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+Can one estimate the conditional distribution of post-model-selection estimators?
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+Model Selection
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@@ Property / cites work @@
+Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models
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+Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
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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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+Pseudo‐likelihood estimation in ARCH models
@@ Property / cites work: Pseudo‐likelihood estimation in ARCH models / rank @@
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@@ Property / cites work @@
+ARMA MODELS WITH ARCH ERRORS
@@ Property / cites work: ARMA MODELS WITH ARCH ERRORS / rank @@
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@@ Property / DOI @@
+.1016/J.JECONOM.2011.08.001
@@ Property / DOI: 10.1016/J.JECONOM.2011.08.001 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:738084