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Adaptive Estimation in ARCH Models

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References

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Cited by

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2005Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1141 cited
1997Efficient estimation in semiparametric GARCH models132 cited
2013Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods126 cited
2001A consistent test for conditional symmetry in time series models109 cited
2001WHITTLE ESTIMATION OF ARCH MODELS90 cited
2004Semiparametric Duration Models87 cited
2004Semiparametric multivariate volatility models52 cited
2009Robust M-estimation of multivariate GARCH models45 cited
2003Efficient Estimation of Conditional Asset-Pricing Models40 cited
2005Asymptotic theory for ARCH-SM models: Lan and residual empirical processes39 cited
1999Efficiency comparisons of maximum-likelihood-based estimators in GARCH models39 cited
2003Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models35 cited
2001A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors34 cited
2002EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITY31 cited
1998Adaptive estimation of cointegrating regressions with ARMA errors26 cited
2009Semiparametric and Nonparametric ARCH Modeling26 cited