Estimating GARCH(1, 1) in the presence of missing data

DOI10.1214/23-AOAS1734MaRDI QIDQ6138583zbMATH OpenOpenAlexFDO

Authors

Publication date 16 January 2024

Published in The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/23-aoas1734

zbMATH Keywords

hidden Markov modelincomplete dataintractable likelihoodsequential Monte Carlovolatility modelling

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cites work

• A new nonlinear formulation for GARCH models
• A Simplex Method for Function Minimization
• An Introduction to Univariate GARCH Models
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• scientific article; zbMATH DE number 1025835 (Why is no real title available?)
• Least squares estimation of ARCH models with missing observations
• Missing observations in observation-driven time series models
• Particle filters for continuous likelihood evaluation and maximisation
• QML inference for volatility models with covariates
• Quasi-maximum likelihood estimation of GARCH models in the presence of missing values
• Remarks on a Multivariate Transformation
• Simulated likelihood inference for stochastic volatility models using continuous particle filtering

Cited in

(1)

• Estimating the Hawkes Process From a Discretely Observed Sample Path

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