References

No references inside the corpus for this window.

Cited by

• 2006Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models144 cited
• 2007Robust estimates for GARCH models131 cited
• 2013Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods126 cited
• 2011Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA–GARCH/IGARCH models110 cited
• 2006Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations101 cited
• 2011Estimating GARCH volatility in the presence of outliers77 cited
• 2006Recent Advances in ARCH Modelling76 cited
• 2007Estimation and tests for power-transformed and threshold GARCH models75 cited
• 2008Modelling Multivariate Volatilities via Conditionally Uncorrelated Components69 cited
• 2009ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS63 cited
• 2012Quantile Regression Estimator for GARCH Models47 cited
• 2009Robust M-estimation of multivariate GARCH models45 cited
• 2018Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity43 cited
• 2008Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity