Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model
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Publication:2807747
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Cites work
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- Asymptotic inference for a nonstationary double AR(1) model
- Asymptotic inference of unstable periodic ARCH processes
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
- Estimation in nonstationary random coefficient autoregressive models
- GARCH processes: structure and estimation
- Generalized autoregressive conditional heteroscedasticity
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Least absolute deviations estimation for ARCH and GARCH models
- M-estimation for autoregression with infinite variance
- Martingale Central Limit Theorems
- Offline and online weighted least squares estimation of nonstationary power ARCH processes
- Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models
- Stationarity of GARCH processes and of some nonnegative time series
- Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
Cited in
(18)- Investigating GQL-based inferential approaches for non-stationary BINAR(1) model under different quantum of over-dispersion with application
- QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
- Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model
- Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
- Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models
- Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
- Quasi-maximum exponential likelihood estimation for non-stationary GARCH(1,1) models with high-frequency data
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
- Adaptive quasi-maximum likelihood estimation of GARCH models with Student's \(t\) likelihood
- Standard Laplace quasi-maximum likelihood estimator for GARCH processes
- Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models
- Structure and estimation of a class of nonstationary yet nonexplosive GARCH models
- Quasi maximum exponential likelihood estimation of GARCH model based on high frequency data
- Quasi-maximum exponential likelihood estimation for double-threshold GARCH models
- Quasi-maximum likelihood estimator of Laplace \((1,1)\) for GARCH models
- Quasi-maximum exponential likelihood estimation for a GARCH-M type model
- Statistical inference for non-stationary GARCH(\(p\),\(q\)) models
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