M-ESTIMATION IN GARCH MODELS
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Publication:3551008
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Cites work
- Analysis of Financial Time Series
- Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
- Asymptotic theory for multivariate GARCH processes.
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares
- GARCH processes: structure and estimation
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Least absolute deviations estimation for ARCH and GARCH models
- On conditional least squares estimation for stochastic processes
- Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Stationarity of GARCH processes and of some nonnegative time series
- STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
- The efficiency of the estimators of the parameters in GARCH processes.
Cited in
(40)- Minimum distance estimation of GARCH(1,1) models
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- The efficiency of the estimators of the parameters in GARCH processes.
- M-estimate for the stationary hyperbolic GARCH models
- Estimation and asymptotic properties of a stationary univariate GARCH(\(p,q\)) process
- Robust estimation for Poisson integer-valued GARCH models using a new hybrid loss
- Inference for 2-D GARCH models
- Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts
- M-estimation for periodic GARCH model with high-frequency data
- Robust M-estimation of multivariate GARCH models
- GARCH modelling of covariance in dynamical estimation of inverse solutions
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
- Robust M-estimate of GJR model with high frequency data
- A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference
- Estimating weak GARCH representations
- Monte Carlo posterior integration in GARCH models
- Least absolute deviations estimation for ARCH and GARCH models
- Convergence of heuristic-based estimators of the GARCH model
- An alternative GARCH-in-mean model: structure and estimation
- On the parametrization of multivariate GARCH models
- scientific article; zbMATH DE number 6039561 (Why is no real title available?)
- Influence of deterministic trend on the estimated parameters of GARCH(1,1) model
- RANK-BASED ESTIMATION FOR GARCH PROCESSES
- Mallows' quasi-likelihood estimation for log-linear Poisson autoregressions
- Recursive Estimation of GARCH Models
- scientific article; zbMATH DE number 6531997 (Why is no real title available?)
- Asymptotic optimality of estimating function estimator for CHARN model
- Self-weighted recursive estimation of GARCH models
- Estimating GARCH models using support vector machines*
- scientific article; zbMATH DE number 799018 (Why is no real title available?)
- Diagnostic checking for GARCH-type models
- Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors
- Asymptotic theory of univariate GARCH estimation: stationary and nonstationary case
- Robust estimation methods for a class of log-linear count time series models
- GARCH Model Estimation Using Estimated Quadratic Variation
- Estimation of the parameters of symmetric stable ARMA and ARMA–GARCH models
- Asymptotic properties of M-estimator for GARCH(1, 1) model parameters
- A robust M-estimator for Gaussian ARMA time series based on the Whittle approximation
- M-estimation in GARCH models in the absence of higher-order moments
- A new estimator method for GARCH models
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