Contemporaneous asymmetry in GARCH processes
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Publication:5932779
DOI10.1016/S0304-4076(00)00084-1zbMath0997.62084OpenAlexW2075320224WikidataQ127976621 ScholiaQ127976621MaRDI QIDQ5932779
Jean-Michel Zakoian, Mohamed El Babsiri
Publication date: 14 November 2002
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(00)00084-1
conditional kurtosiscontemporaneous asymmetryFrench stock indexGARCHquasi-maximum likelihoodstationarity
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
Related Items (6)
Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness ⋮ Conditional correlation in asset return and GARCH intensity model ⋮ Tail behavior and dependence structure in the APARCH model ⋮ Weak dependence for infinite ARCH-type bilinear models ⋮ Testing the Martingale Difference Hypothesis ⋮ Asymptotic theory for QMLE for the real‐time GARCH(1,1) model
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