A note on adaptation in garch models

DOI10.1080/07474939708800372zbMath0896.62088OpenAlexW2090283985MaRDI QIDQ4355144

Gloria González-Rivera

Publication date: 6 October 1998

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939708800372

zbMATH Keywords

asymptotic efficiencymaximum likelihood estimatorGARCHadaptationbimodalsemiparametric estimatorunimodal densitiesgeneralized autoregressive conditional heteroscedasticity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS ⋮ On the efficiency of a semi‐parametric GARCH model ⋮ On goodness-of-fit tests for weakly dependent processes using kernel method ⋮ Efficiency comparisons of maximum-likelihood-based estimators in GARCH models

Cites Work

• On adaptive estimation
• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Semiparametric efficiency bounds
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

This page was built for publication: A note on adaptation in garch models