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An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation*

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2013

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Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model

75 cited

2018QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES75 cited

Cited by

2019QMLE for Periodic Time-Varying Asymmetric $$\log $$ GARCH Models17 cited
2023On Markov−switching asymmetric logGARCH models: Stationarity and estimation16 cited