Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach
DOI10.1016/J.JKSS.2014.01.005zbMATH Open1304.62114OpenAlexW2053445054MaRDI QIDQ488612FDOQ488612
Authors: Yong-Cai Geng, Sumit K. Garg 
Publication date: 26 January 2015
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2014.01.005
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- scientific article; zbMATH DE number 1222304
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)
Cites Work
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- Title not available (Why is that?)
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- Analysis of financial time series
- Asymmetric GARCH processes featuring both threshold effect and bilinear structure
- Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
- Practical Issues in the Analysis of Univariate GARCH Models
- Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series
Cited In (5)
- QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
- Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
- Standard Laplace quasi-maximum likelihood estimator for GARCH processes
- Feasible optimum Godambe scores for a semi-parametric GARCH time series
- On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series
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