Volatility Estimation When the Zero-Process is Nonstationary
From MaRDI portal
Cites work
- A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
- A closed-form formula characterization of the Epps effect
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients
- Asymptotics for GARCH squared residual correlations
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Excess idle time
- GARCH models. Structure, statistical inference and financial applications
- GARCH processes: structure and estimation
- Goodness-of-fit tests for Log-GARCH and EGARCH models
- scientific article; zbMATH DE number 2109191 (Why is no real title available?)
- Inference in Autoregression under Heteroskedasticity
- Large sample properties of parameter least squares estimates for time‐varying arma models
- Modeling time series when some observations are zero
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
- Statistical inferences for price staleness
- Structure and estimation of a class of nonstationary yet nonexplosive GARCH models
- The likelihood function of stationary autoregressive-moving average models
This page was built for publication: Volatility Estimation When the Zero-Process is Nonstationary
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6586884)
