GJR-GARCH process with normal errors of varying mean

DOI10.1080/03610918.2024.2397544MaRDI QIDQ6855066zbMATH OpenFDO

Authors Yakoub Boularouk

Publication date 23 February 2026

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2024.2397544

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• An Inequality and Almost Sure Convergence
• Asymptotic behavior of the Laplacian quasi-maximum likelihood estimator of affine causal processes
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Quasi-maximum likelihood estimator of Laplace \((1,1)\) for GARCH models
• Standard Laplace quasi-maximum likelihood estimator for GARCH processes

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