Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

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

Stable limits of martingale transforms with application to the estimation of GARCH parameters

9 references·8 citing·33 second hop

FromToDepth

this work references cited by second hop

References

1994Modelling of extremal events in insurance and finance3,519 cited
1987Extreme Values, Regular Variation and Point Processes3,165 cited
1992Stationarity of Garch processes and of some nonnegative time series567 cited
2003GARCH processes: structure and estimation482 cited
2006Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach395 cited
2003Inference in Arch and Garch Models with Heavy-Tailed Errors362 cited
2002Regular variation of GARCH processes359 cited
1998The sample autocorrelations of heavy-tailed processes with applications to ARCH225 cited
2003Modeling Dependence and Tails of Financial Time Series77 cited

Cited by

2005Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations66 cited
2010Stable limits for sums of dependent infinite variance random variables63 cited
2014Risk-parameter estimation in volatility models60 cited
2011ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE37 cited
2013On count time series prediction35 cited
2008

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

Estimating GARCH models: when to use what?

34 cited

2005Properties and estimation of GARCH(1,1) model33 cited

2014Stable Limit Theory for the Variance Targeting Estimator21 cited