BL-GARCH models with elliptical distributed innovations
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Cites work
- A Skew Extension of the T-Distribution, with Applications
- An introduction to bispectral analysis and bilinear time series models
- ARCH models and financial applications
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- Autoregressive Conditional Density Estimation
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- DIFFERENT REPRESENTATIONS FOR BILINEAR MODELS
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
- Fat tails and asymmetry in financial volatility models.
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 3591256 (Why is no real title available?)
- Likelihood inference in BL-GARCH models
- Properties of moments of a family of GARCH processes
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Recent advances in ARCH modelling
- Stationarity and the existence of moments of a family of GARCH processes.
- Stationarity of GARCH processes and of some nonnegative time series
- Volterra series and geometric control theory
Cited in
(6)- Likelihood inference in BL-GARCH models
- BL-GARCH models and asymmetries in volatility
- Asymmetric GARCH processes featuring both threshold effect and bilinear structure
- Markov-switching BILINEAR-GARCH models: structure and estimation
- Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
- CUSUM-test for unconditional variance change detection in bilinear GARCH models
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