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Properties and estimation of GARCH(1,1) model

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References

1997Modelling Extremal Events4,397 cited
1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator617 cited
2002Regular variation of GARCH processes359 cited
2002A characterization of multivariate regular variation177 cited
2004Estimation in Conditionally Herteroscedastic Time Series Models117 cited
1998Change of structure in financial time series, long range dependence and the GARCH model98 cited
2006Stable limits of martingale transforms with application to the estimation of GARCH parameters63 cited

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2014Selected Indian stock predictions using a hybrid ARIMA-GARCH model46 cited
2016Effects of Exchange Rate Volatility on the Stock Market: The Zambian Experience29 cited

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