WHITTLE ESTIMATION OF ARCH MODELS
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Publication:4807259
DOI10.1017/S0266466601173056zbMATH Open1051.62074MaRDI QIDQ4807259FDOQ4807259
Authors: L. Giraitis, Peter M. Robinson 
Publication date: 18 May 2003
Published in: Econometric Theory (Search for Journal in Brave)
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Cited In (33)
- A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
- Parametric inference in stationary time series models with dependent errors
- Nonstationarity-extended Whittle estimation
- Likelihood inference for discriminating between long-memory and change-point models
- A note on estimation of \(\alpha\)-stable CARMA processes sampled at low frequencies
- Whittle estimation in multivariate CCC-GARCH processes
- Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate
- Estimating parameters of a \(k\)-factor GIGARCH process
- Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models
- ARCH/GARCH with persistent covariate: asymptotic theory of MLE
- Local Whittle likelihood estimators and tests for non-Gaussian stationary processes
- Estimation in a class of nonlinear heteroscedastic time series models
- Estimation of semivarying coefficient time series models with ARMA errors
- On the semi-varying coefficient dynamic panel data model with autocorrelated errors
- Normalized least-squares estimation in time-varying ARCH models
- Semi- and nonparametric ARCH processes
- Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain
- Parameter Estimation Robust to Low-Frequency Contamination
- Weak dependence for infinite ARCH-type bilinear models
- Test for the existence of finite moments via bootstrap
- Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions
- Conditional asymmetry in power ARCH\((\infty)\) models
- Estimation ofk-Factor GIGARCH Process: A Monte Carlo Study
- Estimating GARCH models: when to use what?
- Least squares estimation of ARCH models with missing observations
- Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
- Parametric estimation for Gaussian fields indexed by graphs
- Whittle estimation in a heavy-tailed GARCH(1,1) model.
- Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
- Modelling structural breaks, long memory and stock market volatility: an overview
- Spectral estimation in the presence of missing data
- Whittle estimation of EGARCH and other exponential volatility models
- Mixing properties of ARCH and time-varying ARCH processes
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