Exponential-Type GARCH Models With Linear-in-Variance Risk Premium
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Cites work
- A simple general approach to inference about the tail of a distribution
- An almost closed form estimator for the EGARCH model
- An Intertemporal Capital Asset Pricing Model
- Asymptotics for parametric GARCH-in-mean models
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
- Ergodic theorems. With a supplement by Antoine Brunel
- Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
- Estimation in conditionally heteroscedatic time series models.
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- GARCH models without positivity constraints: exponential or log GARCH?
- Goodness-of-fit tests for Log-GARCH and EGARCH models
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- Iterated Random Functions
- Kalman Filtering with Random Coefficients and Contractions
- MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS
- Moments of the ARMA–EGARCH model
- ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
- On tail index estimation using dependent data
- On the invertibility of time series models
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Semiparametric inference in a GARCH-in-mean model
- Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models
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