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Normal Mixture Quasi‐maximum Likelihood Estimator for GARCH Models
16 references·1 citing·33 second hop
Normal Mixture Quasi‐maximum Likelihood Estimator for GARCH Models (2008)Normal Mixture Quasi‐maximum Likelihood E…Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Maximum likelihood estimation…The Finite Moment Log Stable Process and Option Pricing (2003)The Finite Moment Log Stable …Inference in Arch and Garch Models with Heavy-Tailed Errors (2003)Inference in Arch and Garch M…GARCH processes: structure and estimation (2003)GARCH processes: structure an…Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process (2000)Limit theory for the sample a…ARCH Models and Financial Applications (1999)ARCH Models and Financial App…ARCH Models and Financial Applications (1997)ARCH Models and Financial App…Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models (1996)Consistency and Asymptotic No…Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator (1994)Asymptotic Theory for the Gar…The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps (1993)The Message in Weekly Exchang…Stationarity of Garch processes and of some nonnegative time series (1992)Stationarity of Garch process…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Asymptotic Theory for ARCH Models: Estimation and Testing (1986)Asymptotic Theory for ARCH Mo…Chasing volatility (2017)Chasing volatilityAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach (2006)Modelling Nonlinear Economic Time Series (2010)ARCH modeling in finance (1992)Quadratic ARCH Models (1995)A multiple indicators model for volatility using intra-daily data (2005)Stationarity and Persistence in the GARCH(1,1) Model (1990)Risk, Uncertainty, and Expected Returns (2012)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables (1978)Intra-Day and Inter-Market Volatility in Foreign Exchange Rates (1991)Semiparametric ARCH Models (1991)A causality-in-variance test and its application to financial market prices (1996)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Behavior of Stock-Market Prices (1965)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Stochastic skew in currency options☆ (2007)Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Parametric and Nonparametric Volatility Measurement (2010)Measuring Market Risk (2005)Institutional Investors and Stock Market Volatility (2006)The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)
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362 cited
  • 1993The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps213 cited
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    • 2017Chasing volatility24 cited