applied to temporally aggregated GARCH models. Since these are known to be only weak GARCH, the conditional variance of the …, although inefficient, for weak GARCH models. Our simulation study reveals that NLS does not reduce the bias of QML in …

applied to temporally aggregated GARCH models. Since these are known to be only weak GARCH, the conditional variance of the …, although inefficient, for weak GARCH models. Our simulation study reveals that NLS does not reduce the bias of QML in … least squares (NLS) estimation applied to temporally aggregated GARCH models. Since these are known to be only weak GARCH …

applied to temporally aggregated GARCH models. Since these are known to be only weak GARCH, the conditional variance of the … consistent, although inefficient, for weak GARCH models. However, our simulation study reveals that NLS does not reduce the bias …

. We then provide a financial application. More precisely, we characterize the weak GARCH(2,2) representation of continuous …

weak GARCH framework. The probabilistic structure of the proposed class of models is analyzed in details: constraints …