Likelihood inference in BL-GARCH models

DOI10.1007/BF03354605MaRDI QIDQ1424647zbMATH OpenOpenAlexFDO

Authors Giuseppe Storti, Cosmio Vitale

Publication date 16 March 2004

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf03354605

zbMATH Keywords

stationaritystate-space representationEM-algorithmunconditional momentsbilinear GARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• A nonlinear time series approach to modelling asymmetry in stock market indexes
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• An algorithm for estimating parameters of state-space models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• BL-GARCH models and asymmetries in volatility
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Generalized autoregressive conditional heteroscedasticity
• Maximum likelihood estimation via the ECM algorithm: A general framework
• Properties of moments of a family of GARCH processes
• Quadratic ARCH Models
• Some identification and estimation results for regression models with stochastically varying coefficients

Cited in

(9)

• Modelling asymmetric volatility dynamics by multivariate BL-GARCH models
• A new nonlinear formulation for GARCH models
• BL-GARCH models and asymmetries in volatility
• Likelihood-Based Estimation of Latent Generalized ARCH Structures
• BL-GARCH models with elliptical distributed innovations
• Markov-switching BILINEAR-GARCH models: structure and estimation
• QMLE of periodic time-varying bilinear– GARCH models
• On an independent and identically distributed mixture bilinear time-series model
• Stationary solution and parametric estimation for bilinear model driven by ARCH noises

Describes a project that uses

Uses Software

• astsa

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