Quasi-maximum likelihood estimation of GARCH with Student distributed noise
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Cites work
- Asymptotic behavior of the Laplacian quasi-maximum likelihood estimator of affine causal processes
- Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
- Estimation in conditionally heteroscedatic time series models.
- GARCH processes: structure and estimation
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
- QML estimation of a class of multivariate asymmetric GARCH models
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Stationarity of GARCH processes and of some nonnegative time series
- The efficiency of the estimators of the parameters in GARCH processes.
- Weakly dependent chains with infinite memory
Cited in
(4)- Quasi-maximum likelihood estimator of Laplace \((1,1)\) for GARCH models
- Assessing the bias of maximum likelihood estimates of contaminated garch models
- Adaptive quasi-maximum likelihood estimation of GARCH models with Student's t likelihood
- Standard Laplace quasi-maximum likelihood estimator for GARCH processes
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