Adaptive quasi-maximum likelihood estimation of GARCH models with Student’s<i>t</i>likelihood (Q2830196): Difference between revisions

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+GARCH processes: structure and estimation
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+Normal rank
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+Generalized autoregressive conditional heteroscedasticity
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+Stationarity of GARCH processes and of some nonnegative time series
+Normal rank
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+Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
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+Adaptive estimation in time-series models
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+Normal rank
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+Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
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+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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+Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
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+Least absolute deviations estimation for ARCH and GARCH models
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+Semiparametric efficient adaptive estimation of asymmetric GARCH models
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+Maximum Likelihood Estimation of Misspecified Models
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+Quasi-maximum likelihood estimation of volatility with high frequency data
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+A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
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