Minimum distance estimation of GARCH(1,1) models
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Publication:1010531
DOI10.1016/j.csda.2005.11.020zbMath1157.62498OpenAlexW2088744128MaRDI QIDQ1010531
Publication date: 6 April 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2005.11.020
minimum distance estimationautocovariance functionGARCH modelsquasi maximum likelihoodhigh frequency
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)
Related Items
Robust minimum distance estimators for the CARR(1,1) model, Minimum density power divergence estimator for Poisson autoregressive models, Robust and efficient estimation of GARCH models based on Hellinger distance, On periodic time-varying bilinear processes: structure and asymptotic inference, Minimum density power divergence estimator for GARCH models, Simulated minimum Hellinger distance estimation of stochastic volatility models, ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL, A GMM procedure for combining volatility forecasts, Deciding between GARCH and stochastic volatility via strong decision rules
Cites Work
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