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Estimating GARCH models: when to use what?

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References

1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator617 cited
1986Asymptotic Theory for ARCH Models: Estimation and Testing520 cited
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2006Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach395 cited
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2000STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM253 cited
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2001WHITTLE ESTIMATION OF ARCH MODELS90 cited
2006Stable limits of martingale transforms with application to the estimation of GARCH parameters63 cited
2003Lp-estimators in ARCH models35 cited

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2014Confidence intervals for ARMA–GARCH Value-at-Risk: The case of heavy tails and skewness33 cited

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2023Volatility predictability in crude oil futures: Evidence based on OVX, GARCH and stochastic volatility models23 cited

2020Exchange rate volatility and pass‐through to inflation in South Africa15 cited