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WHITTLE ESTIMATION OF ARCH MODELS

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References

1986Generalized autoregressive conditional heteroskedasticity22,329 cited
1992ARCH modeling in finance4,288 cited
1993A long memory property of stock market returns and a new model3,257 cited
1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1,960 cited
1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
1990ARCH models as diffusion approximations943 cited
1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator617 cited
1986Asymptotic Theory for ARCH Models: Estimation and Testing520 cited
1991Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression440 cited
2000STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM253 cited
1999LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS168 cited
1993Adaptive Estimation in ARCH Models141 cited
1997Efficient estimation in semiparametric GARCH models132 cited

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2001

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Testing for long memory in the presence of a general trend

89 cited

2006Pseudo-maximum likelihood estimation of ARCH$(\infty)$ models88 cited

2004LARCH, Leverage, and Long Memory76 cited

2006Recent Advances in ARCH Modelling76 cited

2008Normalized least-squares estimation in time-varying ARCH models66 cited

2006A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL63 cited

2004Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review52 cited

2002Whittle estimation in a heavy-tailed GARCH(1,1) model51 cited

2004STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS49 cited

2011Mixing properties of ARCH and time-varying ARCH processes48 cited

2008Estimating GARCH models: when to use what?34 cited

2009Whittle estimation of EGARCH and other exponential volatility models32 cited

2009A Tour in the Asymptotic Theory of GARCH Estimation25 cited