Quasi-maximum exponential likelihood estimators for GARCH models based on high frequency data
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Publication:5259888
zbMATH Open1324.91078MaRDI QIDQ5259888FDOQ5259888
Authors: Jin-shan Huang, Min Chen 
Publication date: 29 June 2015
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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- Quasi-maximum exponential likelihood estimation for non-stationary GARCH(1,1) models with high-frequency data
- ESTIMATING BIVARIATE GARCH-JUMP MODEL BASED ON HIGH FREQUENCY DATA: THE CASE OF REVALUATION OF THE CHINESE YUAN IN JULY 2005
- Quasi maximum exponential likelihood estimation of GARCH model based on high frequency data
- M-estimation for periodic GARCH model with high-frequency data
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Daily GARCH model estimation using high frequency data
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