A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL

DOI10.1017/S0266466606060142zbMath1138.62050MaRDI QIDQ5438206

Dennis Kristensen, Oliver B. Linton

Publication date: 23 January 2008

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

tables

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

• Regular variation of GARCH processes.
• The sample autocorrelations of heavy-tailed processes with applications to ARCH
• Generalized autoregressive conditional heteroscedasticity
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• ESTIMATING WEAK GARCH REPRESENTATIONS
• Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
• The Stochastic Difference Between Econometric Statistics
• FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
• WHITTLE ESTIMATION OF ARCH MODELS
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• An Interior Trust Region Approach for Nonlinear Minimization Subject to Bounds