A note on adaptation in garch models
DOI10.1080/07474939708800372zbMATH Open0896.62088OpenAlexW2090283985MaRDI QIDQ4355144FDOQ4355144
Authors: 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
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adaptationasymptotic efficiencyGARCHmaximum likelihood estimatorbimodalsemiparametric estimatorunimodal densitiesgeneralized autoregressive conditional heteroscedasticity
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
Cited In (7)
- Semiparametric efficient adaptive estimation of the GJR-GARCH model
- On the efficiency of a semi-parametric GARCH model
- Semiparametric efficient adaptive estimation of asymmetric GARCH models
- Semiparametric multivariate volatility models
- On goodness-of-fit tests for weakly dependent processes using kernel method
- Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models
- Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
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