Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

QMLE for Periodic Time-Varying Asymmetric $$\log $$ GARCH Models

10 references·1 citing·33 second hop

FromToDepth

this work references cited by second hop

References

2003GARCH processes: structure and estimation482 cited
2019GARCH Models: Structure, Statistical Inference and Financial Applications431 cited
1996Periodic Autoregressive Conditional Heteroscedasticity376 cited
2010GARCH Models344 cited
2004Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case146 cited
2007Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero79 cited
2013GARCH models without positivity constraints: Exponential or log GARCH?68 cited
2008Quasi‐maximum likelihood estimation of periodic GARCH and periodic ARMA‐GARCH processes50 cited
2017Markov-switchingBILINEAR−GARCHmodels: Structure and estimation20 cited
2017An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation*18 cited

Cited by

2023On Markov−switching asymmetric logGARCH models: Stationarity and estimation16 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work