<i>M</i>-ESTIMATION IN GARCH MODELS (Q3551008): Difference between revisions

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+Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
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+Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
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+Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
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+Q3911791
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+STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL  LIMIT THEOREM
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Asymptotic theory for multivariate GARCH processes.
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+Stationarity of GARCH processes and of some nonnegative time series
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+Generalized autoregressive conditional heteroscedasticity
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+GARCH processes: structure and estimation
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+The efficiency of the estimators of the parameters in GARCH processes.
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares
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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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+On conditional least squares estimation for stochastic processes
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+Inference in Arch and Garch Models with Heavy-Tailed Errors
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+Analysis of Financial Time Series
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+Least absolute deviations estimation for ARCH and GARCH models
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