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Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
16 references·3 citing·25 second hop
Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes (2010)Asymptotic properties of LS and QML estim…QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS (2009)QUASI-MAXIMUM LIKELIHOOD ESTI…Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes (2009)Asymptotic normality of the q…Estimation and tests for power-transformed and threshold GARCH models (2007)Estimation and tests for powe…Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach (2006)Quasi-maximum-likelihood esti…Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Maximum likelihood estimation…GARCH processes: structure and estimation (2003)GARCH processes: structure an…On a double-threshold autoregressive heteroscedastic time series model (1996)On a double-threshold autoreg…Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator (1994)Asymptotic Theory for the Gar…Threshold arch models and asymmetries in volatility (1993)Threshold arch models and asy…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Stationarity of Garch processes and of some nonnegative time series (1992)Stationarity of Garch process…A Class of Nonlinear Arch Models (1992)A Class of Nonlinear Arch Mod…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The pricing of commodity contracts (1976)The pricing of commodity cont…The accuracy of asymmetric GARCH model estimation (2018)The accuracy of asymmetric GA…Asymptotics of Cholesky GARCH models and time-varying conditional betas (2018)Asymptotics of Cholesky GARCH…Inference in nonstationary asymmetric GARCH models (2013)Inference in nonstationary as…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Inference in Arch and Garch Models with Heavy-Tailed Errors (2003)Modelling Nonlinear Economic Time Series (2010)ARCH modeling in finance (1992)Quadratic ARCH Models (1995)A multiple indicators model for volatility using intra-daily data (2005)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Parametric and Nonparametric Volatility Measurement (2010)Stationarity and Persistence in the GARCH(1,1) Model (1990)Risk, Uncertainty, and Expected Returns (2012)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)Econometric Analysis of Cross Section and Panel Data (2001)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Augmented GARCH (p,q) process and its diffusion limit (1997)A nonlinear autoregressive conditional duration model with applications to financial transaction data (2001)
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References

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  • 2009Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes108 cited
  • 2007

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Estimation and tests for power-transformed and threshold GARCH models
75 cited
  • 2009QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS56 cited
  • Cited by

    • 2013Inference in nonstationary asymmetric GARCH models42 cited
    • 2018The accuracy of asymmetric GARCH model estimation33 cited
    • 2018Asymptotics of Cholesky GARCH models and time-varying conditional betas27 cited