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ArticleAsymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes

Tawfik Hamadeh2010

Article2010

Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes

Tawfik Hamadeh · Jean‐Michel Zakoïan

48 citations·0/0 files stored·Journal of Statistical Planning and Inference

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Statistical and numerical algorithms

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1976The pricing of commodity contracts 1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator 2004Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes 1992Stationarity of Garch processes and of some nonnegative time series

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2013Inference in nonstationary asymmetric GARCH models 2018The accuracy of asymmetric GARCH model estimation

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Year2010

Typearticle

Published2010-07-05

VenueJournal of Statistical Planning and Inference

ISSN-L0378-3758

Languageen

Citations48

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jspi.2010.06.026

openalex_workW2089869042

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