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Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero

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References

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2005

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Estimation in Conditionally Heteroscedastic Time Series Models

100 cited

Cited by

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2009Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons55 cited
2011PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS53 cited
2008Quasi‐maximum likelihood estimation of periodic GARCH and periodic ARMA‐GARCH processes50 cited
2009ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL46 cited
2009Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models45 cited
2017The ZD-GARCH model: A new way to study heteroscedasticity36 cited
2016Inference and testing on the boundary in extended constant conditional correlation GARCH models34 cited
2020Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models33 cited
2014Variance Targeting Estimation of Multivariate GARCH Models31 cited
2018TESTING GARCH-X TYPE MODELS30 cited
2019Strict stationarity testing and GLAD estimation of double autoregressive models14 cited