Contemporaneous Asymmetry in Weak GARCH Processes
Year of publication: |
1996-03-01
|
---|---|
Authors: | EL BABSIRI, Mohamed ; ZAKOIAN, Jean-Michel |
Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
Subject: | Asymmetry | Weak GARCH Processes | Heteroskedasticity | Linear Innovation | Stationarity | Consistency | Time-Varying Excess Kurtosis |
-
Asymptotic Theory of General Multivariate GARCH Models
Jiang, Weibin, (2011)
-
Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Blasques, Francisco, (2014)
-
Auction Design without Commitment
Vartiainen, Hannu, (2009)
- More ...
-
Efficient use of higher-lag autocorrelations for estimating autoregressive processes
BROZE, Laurence,
-
Quasi Indirect Inference for Diffusion Processes
BROZE, Laurence, (1995)
-
Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
BROZE, Laurence, (2000)
- More ...