Effects of level shifts and temporary changes on the estimation of GARCH models
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Publication:3589968
DOI10.1080/00949650902756465zbMath1195.62141MaRDI QIDQ3589968
F. Javier Trívez, Beatriz Catalán
Publication date: 17 September 2010
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949650902756465
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C05: Monte Carlo methods
Cites Work
- Nonlinear Regression with Dependent Observations
- Specification error caused by level shifts and temporary changes in ARMA–GARCH models
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
- Joint Estimation of Model Parameters and Outlier Effects in Time Series
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Effects of outliers on the identification and estimation of GARCH models
- Forecasting volatility in GARCH models with additive outliers