GARCH Model Estimation Using Estimated Quadratic Variation
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Cites work
- A simple noniterative estimator for moving average models
- A Tale of Two Time Scales
- Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Closing the GARCH gap: Continuous time GARCH modeling
- Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Consistent autoregressive spectral estimates
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Estimating weak GARCH representations
- ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION
- Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
- Filtering and forecasting with misspecified ARCH models. II: Making the right forecast with the wrong model
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 3550005 (Why is no real title available?)
- Modeling and Forecasting Realized Volatility
- On some simple, autoregression-based estimation and identification techniques for ARMA models
- Realized Volatility: A Review
- STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
- Temporal Aggregation of Garch Processes
- Temporal aggregation of volatility models
Cited in
(13)- GARCH estimation and discrete stock prices: an application to low-priced Australian stocks
- Volatility regressions with fat tails
- Parameter estimation in the ARCH model with weighted liquidity
- Temporal Aggregation of Garch Processes
- Varying Coefficient GARCH Models
- RCA model with quadratic GARCH innovation distribution
- Quaternion VAR Modelling and Estimation
- Daily GARCH model estimation using high frequency data
- Robust and efficient estimation of GARCH models based on Hellinger distance
- Quasi-maximum exponential likelihood estimators for GARCH models based on high frequency data
- The Special Issue in Honor of Aman Ullah: An Overview
- Quasi maximum exponential likelihood estimation of GARCH model based on high frequency data
- Functional diffusion driven stochastic volatility model
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