<i>M</i>-ESTIMATION IN GARCH MODELS (Q3551008)

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English	<i>M</i>-ESTIMATION IN GARCH MODELS	scientific article

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scholarly article

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<i>M</i>-ESTIMATION IN GARCH MODELS (English)

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zbMATH Open document ID

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10.1017/S0266466608080602

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Kanchan Mukherjee

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Econometric Theory

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publication date

8 April 2010

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Mathematics Subject Classification ID

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zbMATH DE Number

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MaRDI publication profile

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Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models

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Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach

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Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models

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STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Asymptotic theory for multivariate GARCH processes.

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Stationarity of GARCH processes and of some nonnegative time series

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Generalized autoregressive conditional heteroscedasticity

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GARCH processes: structure and estimation

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The efficiency of the estimators of the parameters in GARCH processes.

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Conditional Heteroskedasticity in Asset Returns: A New Approach

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Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares

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Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

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On conditional least squares estimation for stochastic processes

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Inference in Arch and Garch Models with Heavy-Tailed Errors

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Analysis of Financial Time Series

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Least absolute deviations estimation for ARCH and GARCH models

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full work available at URL

https://doi.org/10.1017/s0266466608080602

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