A note on GARCH model identification

DOI10.1016/J.CAMWA.2007.10.001MaRDI QIDQ945144zbMATH OpenOpenAlexFDO

Authors B. E. Eshmatov

Publication date 11 September 2008

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2007.10.001

zbMATH Keywords

estimating functionsGARCHleast absolute deviationleast squaresmodel identification

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 1215432 (Why is no real title available?)
• scientific article; zbMATH DE number 3338262 (Why is no real title available?)
• Linear Bayes and optimal estimation
• MINIMUM MSE ESTIMATION BY LINEAR COMBINATIONS OF ORDER STATISTICS1
• Random coefficient autoregressive models: an introduction
• Random coefficient GARCH models

Cited in

(7)

• Testing for identification in SVAR-GARCH models
• Identification of long memory in GARCH models
• Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing
• Modelling stock returns with AR-GARCH processes
• A note on adaptation in garch models
• scientific article; zbMATH DE number 5211919 (Why is no real title available?)
• Combining estimating functions for volatility

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