GARCH Model Estimation Using Estimated Quadratic Variation

DOI10.1080/07474938.2014.956629MaRDI QIDQ5863577zbMATH OpenOpenAlexFDO

Authors John W. Galbraith, Victoria Zinde-Walsh, Jingmei Zhu

Publication date 3 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2014.956629

zbMATH Keywords

GARCHquadratic variationhigh-frequency dataLAD

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

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Cited in

(12)

• The Special Issue in Honor of Aman Ullah: An Overview
• Volatility regressions with fat tails
• RCA model with quadratic GARCH innovation distribution
• Quasi-maximum exponential likelihood estimators for GARCH models based on high frequency data
• Temporal Aggregation of Garch Processes
• Parameter estimation in the ARCH model with weighted liquidity
• GARCH estimation and discrete stock prices: an application to low-priced Australian stocks
• Quaternion VAR Modelling and Estimation
• Robust and efficient estimation of GARCH models based on Hellinger distance
• Quasi maximum exponential likelihood estimation of GARCH model based on high frequency data
• Daily GARCH model estimation using high frequency data
• Varying Coefficient GARCH Models

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