Quasi maximum exponential likelihood estimation of GARCH model based on high frequency data
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Publication:6188569
Authors: Lili Li, XingFa Zhang, Chunliang Deng, Yuan Li 
Publication date: 7 February 2024
Full work available at URL: https://applmath.cjoe.ac.cn/jweb_yysxxb/EN/Y2022/V45/I5/652
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
- Least absolute deviations estimation for ARCH and GARCH models
- Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
- Quasi-maximum exponential likelihood estimation for a GARCH-M type model
- Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model
- Robust \(M\)-estimate of GJR model with high frequency data
- Quasi-maximum exponential likelihood estimators for GARCH models based on high frequency data
- Quasi-maximum exponential likelihood estimation for non-stationary GARCH(1,1) models with high-frequency data
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