BL-GARCH models with elliptical distributed innovations
DOI10.1080/00949650902773577zbMATH Open1200.91256OpenAlexW2130667767MaRDI QIDQ3589975FDOQ3589975
Authors: Abdou Kâ Diongue, Dominique Guegan, R. C. Wolff 
Publication date: 17 September 2010
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-00368340/file/diongue_guegan_wolff_sma2009.pdf
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Monte Carlo methods (65C05) Economic time series analysis (91B84) Time series analysis of dynamical systems (37M10)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- ARCH models and financial applications
- Conditional Heteroskedasticity in Asset Returns: A New Approach
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- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- A Skew Extension of the T-Distribution, with Applications
- Stationarity of GARCH processes and of some nonnegative time series
- Properties of moments of a family of GARCH processes
- Fat tails and asymmetry in financial volatility models.
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- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- Autoregressive Conditional Density Estimation
- An introduction to bispectral analysis and bilinear time series models
- Recent advances in ARCH modelling
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- Volterra series and geometric control theory
- Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
- Likelihood inference in BL-GARCH models
- DIFFERENT REPRESENTATIONS FOR BILINEAR MODELS
Cited In (5)
- Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
- Asymmetric GARCH processes featuring both threshold effect and bilinear structure
- BL-GARCH models and asymmetries in volatility
- Likelihood inference in BL-GARCH models
- Markov-switching BILINEAR-GARCH models: structure and estimation
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