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A recursive online algorithm for the estimation of time-varying ARCH parameters

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References

2003Stochastic Approximation and Recursive Algorithms and Applications1,845 cited
2004Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects523 cited
2006Statistical inference for time-varying ARCH processes251 cited
2006On some nonstationary, nonlinear random processes and their stationary approximations49 cited

Cited by

2014It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model26 cited
2016Parameter Stability and Semiparametric Inference in Time Varying Auto-Regressive Conditional Heteroscedasticity Models24 cited

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