Quasi-maximum likelihood estimation of stochastic volatility models

DOI10.1016/0304-4076(93)01569-8zbMath0825.62949OpenAlexW2164168189MaRDI QIDQ1341214

Esther Ruiz Ortega

Publication date: 28 November 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/4786

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• ARCH modeling in finance. A review of the theory and empirical evidence
• A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Unnamed Item

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