GARCH Model Estimation Using Estimated Quadratic Variation
DOI10.1080/07474938.2014.956629zbMATH Open1491.62098OpenAlexW2061817351MaRDI QIDQ5863577FDOQ5863577
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
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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
- Quasi-maximum exponential likelihood estimators for GARCH models based on high frequency data
- RCA model with quadratic GARCH innovation distribution
- 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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