Least squares estimation of ARCH models with missing observations
DOI10.1111/J.1467-9892.2012.00803.XzbMATH Open1281.62190OpenAlexW2139190831MaRDI QIDQ5397963FDOQ5397963
Authors: Pascal Bondon, Natalia Bahamonde 
Publication date: 25 February 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10533/134800
Recommendations
least squares estimationARCH modelsmissing observationsmartingale central limit theoremconditional heteroscedasticity
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Statistical methods; economic indices and measures (91B82)
Cites Work
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Cited In (7)
- On the correlation analysis of stocks with zero returns
- Estimating \(\operatorname{GARCH}(1, 1)\) in the presence of missing data
- Quasi-maximum likelihood estimation of GARCH models in the presence of missing values
- Missing observations in observation-driven time series models
- Minimum distance estimation of locally stationary moving average processes
- Correcting outliers in GARCH models: a weighted forward approach
- Spectral estimation in the presence of missing data
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