Stochastic volatility generated by product autoregressive models
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Cites work
- A Generalization of the Gamma Distribution
- An extension of quasi-likelihood estimation
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- Development of product autoregressive models
- Estimating function method for product autoregressive models
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
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- Filtering and Smoothing Via Estimating Functions
- First-order autoregressive gamma sequences and point processes
- Generalized autoregressive conditional heteroscedasticity
- Generalized duration models and optimal estimation using estimating functions
- scientific article; zbMATH DE number 3928144 (Why is no real title available?)
- scientific article; zbMATH DE number 3992765 (Why is no real title available?)
- Large Sample Properties of Generalized Method of Moments Estimators
- Parameter Estimation for a Generalized Gamma Distribution
- Product autoregression: a time-series characterization of the gamma distribution
- Product autoregressive models for non-negative variables
- Quasi-maximum likelihood estimation of stochastic volatility models
- The estimation of a state space model by estimating functions with an application
- The foundations of finite sample estimation in stochastic processes
- Transform martingale estimating functions
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