Estimating weak GARCH representations
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(17)- Temporal aggregation and systematic sampling for INGARCH processes
- On partial-sum processes of ARMAX residuals
- Temporal aggregation of volatility models
- Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
- Fast estimation methods for time-series models in state–space form
- Estimation de représentations GARCH faibles
- On dynamics of volatilities in nonstationary GARCH models
- The use of aggregate time series for testing conditional heteroscedasticity
- Missing mean does no harm to volatility!
- Estimation of temporally aggregated multivariate GARCH models
- A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
- GARCH Model Estimation Using Estimated Quadratic Variation
- Testing conditional heteroscedasticity with systematic sampling of time series
- Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
- Tail risk monotonicity in GARCH(1,1) models
- The effects of aggregation and sampling on periodic INGARCH processes
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
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