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Maximum Likelihood Estimation for Generalized Autoregressive Score Models · Study

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PreprintMaximum Likelihood Estimation for Generalized Autoregressive Score Models

Francisco Blasques2014

OA

Preprintgreen2014

Maximum Likelihood Estimation for Generalized Autoregressive Score Models

Francisco Blasques · Siem Jan Koopman · André Lucas

63 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Statistical and numerical algorithms

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References

1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 2012GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS 2002New frontiers for arch models 1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator 2019GARCH Models: Structure, Statistical Inference and Financial Applications 2013Dynamic Models for Volatility and Heavy Tails

Cited by

2017Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall 2016Modeling Financial Sector Joint Tail Risk in the Euro Area 2018Modeling the Interactions between Volatility and Returns using EGARCH‐M 2019Managing volumetric risk of long-term power purchase agreements

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2014Stationarity and ergodicity of univariate generalized autoregressive score processesarticle · 10 shared references 2021Maximum likelihood estimation for score-driven modelsarticle · 8 shared references 2016Comparison of Value-at-Risk models using the MCS approacharticle · 8 shared references 2009Modelling Financial High Frequency Data Using Point Processeschapter · 7 shared references 2008AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATUREarticle · 7 shared references 2010Analysis of High-Frequency Datachapter · 7 shared references

Details

Year2014

Typepreprint

Published2014-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations63

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.2404276

openalex_workW1902304647

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