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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+Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
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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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+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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+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
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+ARMA MODELS WITH ARCH ERRORS
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