Data cloning estimation of GARCH and COGARCH models (Q5220829): Difference between revisions

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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Generalized autoregressive conditional heteroscedasticity
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+ARCH models as diffusion approximations
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+Asymptotic nonequivalence of GARCH models and diffusions
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+Reconsidering the continuous time limit of the GARCH(1,1) process
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+Option Pricing in ARCH-type Models
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+A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
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+Q3099631
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+Method of moment estimation in the COGARCH(1,1) model
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+GARCH modelling in continuous time for irregularly spaced time series data
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+Estimability and Likelihood Inference for Generalized Linear Mixed Models Using Data Cloning
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+GARCH Models
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+Financial risk management with Bayesian estimation of GARCH models. Theory and applica\-tions.
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+Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
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+A Markov-Chain Sampling Algorithm for GARCH Models
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+Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
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+A new look at the statistical model identification
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+Estimating the dimension of a model
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