Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation

16 references·16 citing·30 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

1986Generalized autoregressive conditional heteroskedasticity22,329 cited
1992ARCH modeling in finance4,288 cited
1993Measuring and Testing the Impact of News on Volatility3,692 cited
1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
1986Modelling the persistence of conditional variances2,068 cited
1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
2002The Message in Daily Exchange Rates791 cited
1993ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING786 cited
1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model723 cited
1989The Message in Daily Exchange Rates: A Conditional-Variance Tale647 cited
1994A Markov Model of Switching-Regime ARCH638 cited
1986Asymptotic Theory for ARCH Models: Estimation and Testing520 cited
1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates489 cited
1991Semiparametric ARCH Models482 cited
1991

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Semiparametric ARCH Models

194 cited

Cited by

2006Cross-listing, price discovery and the informativeness of the trading process119 cited
2001Forecasting daily exchange rate volatility using intraday returns108 cited
2002Common factor components versus information shares: a reply85 cited
1999An investigation of price discovery in informationally-linked markets: equity trading in Malaysia and Singapore84 cited
2000Diagnosing and treating the fat tails in financial returns data79 cited
2000On the Cusum test for parameter changes in garch(1,1) Models79 cited
2000A Multivariate GARCH Model with Time-Varying Correlations77 cited
1997Impulse Response Function for Conditional Volatility in GARCH Models74 cited
2006A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL63 cited
2000Macroeconomic announcement effects on the covariance structure of government bond returns61 cited
2004The contribution of a satellite market to price discovery: Evidence from the Singapore exchange60 cited
1997An Asymptotic Expansion in the GARCH(l, 1) Model49 cited
2003Statistical Adequacy and the Testing of Trend Versus Difference Stationarity48 cited
2001On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity48 cited
2012Adaptive ARFIMA models with applications to inflation41 cited
2012How smooth is price discovery? Evidence from cross-listed stock trading38 cited