Likelihood inference in BL-GARCH models

DOI10.1007/BF03354605zbMath1037.62091MaRDI QIDQ1424647

Giuseppe Storti, Cosmio Vitale

Publication date: 16 March 2004

Published in: Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

stationarity; EM-algorithm; state-space representation; unconditional moments; bilinear GARCH model

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Modelling asymmetric volatility dynamics by multivariate BL-GARCH models, BL-GARCH models with elliptical distributed innovations

Uses Software

• astsa

Cites Work

• Unnamed Item
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