An ARCH model without intercept
DOI10.1016/J.ECONLET.2015.01.029zbMATH Open1321.62144OpenAlexW1965856644MaRDI QIDQ500477FDOQ500477
Authors: Arie Preminger, Christian M. Hafner 
Publication date: 5 October 2015
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2015.01.029
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Handbook of Volatility Models and Their Applications
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
Cited In (5)
- A simulation study on the Markov regime-switching zero-drift GARCH model
- Inference for asymmetric exponentially weighted moving average models
- A new generalized exponentially weighted moving average quantile model and its statistical inference
- Double AR model without intercept: an alternative to modeling nonstationarity and heteroscedasticity
- The ZD-GARCH model: a new way to study heteroscedasticity
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