Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model (Q2807747): Difference between revisions

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+https://doi.org/10.1080/03610926.2013.851225
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+W2075721156
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@@ Property / cites work @@
+Offline and online weighted least squares estimation of nonstationary power ARCH processes
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+Asymptotic inference of unstable periodic ARCH processes
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+GARCH processes: structure and estimation
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+Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
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+ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
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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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+ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
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+Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models
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+Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
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+Publication:2807747