Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
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Publication:738084
DOI10.1016/J.JECONOM.2011.08.001zbMATH Open1441.62692OpenAlexW2012817363MaRDI QIDQ738084FDOQ738084
Authors: C. Francq, Guillaume Lepage, Jean-Michel Zakoïan 
Publication date: 15 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.08.001
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Cites Work
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- Pseudo‐likelihood estimation in ARCH models
- Model Selection
- Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
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- ARMA MODELS WITH ARCH ERRORS
- On the efficiency of a semi‐parametric GARCH model
Cited In (21)
- MODELING NONSTATIONARY AND LEPTOKURTIC FINANCIAL TIME SERIES
- Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
- A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
- On dynamics of volatilities in nonstationary GARCH models
- On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models
- Adaptive quasi-maximum likelihood estimation of GARCH models with Student’stlikelihood
- Statistical inference for nonparametric GARCH models
- Bootstrap specification tests for dynamic conditional distribution models
- Standard Laplace quasi-maximum likelihood estimator for GARCH processes
- Teaching size and power properties of hypothesis tests through simulations
- On Efficient Inference in GARCH Processes
- Risk-parameter estimation in volatility models
- Consistent non-Gaussian pseudo maximum likelihood estimators
- Semiparametric Time Series Models with Log‐concave Innovations: Maximum Likelihood Estimation and its Consistency
- On periodic logGARCH model with empirical application model with empirical application
- Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations
- Testing the existence of moments for GARCH processes
- Root-\(T\) consistent density estimation in GARCH models
- Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
- Reconsidering the gains in efficiency from ML estimation versus OLS in ARCH models
- Generalized Gaussian quasi-maximum likelihood estimation for most common time series
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