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A tour in the asymptotic theory of GARCH estimation
Francq, Christian; Zakoïan, Jean-Michel - In: Handbook of financial time series, (pp. 85-111). 2009
Persistent link: https://www.econbiz.de/10003833783
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Practical issues in the analysis of univariate GARCH models
Zivot, Eric - In: Handbook of financial time series, (pp. 113-155). 2009
Persistent link: https://www.econbiz.de/10003833789
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Varying coefficient GARCH models
Čížek, Pavel; Spokojnyj, Vladimir G. - In: Handbook of financial time series, (pp. 169-185). 2009
Persistent link: https://www.econbiz.de/10003833937
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Multivariate GARCH models
Silvennoinen, Annastiina; Teräsvirta, Timo - In: Handbook of financial time series, (pp. 201-229). 2009
Persistent link: https://www.econbiz.de/10003833947
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Fitting vast dimensional time-varying covariance models
Engle, Robert F.; Shephard, Neil G.; Sheppard, Kevin - 2008
Persistent link: https://www.econbiz.de/10003807446
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Asymptotic theory for a factor GARCH model
Hafner, Christian M.; Preminger, Arie - In: Econometric theory 25 (2009) 2, pp. 336-363
Persistent link: https://www.econbiz.de/10003818293
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First-order asymptotic theory for parametric misspecification tests of GARCH models
Halunga, Andreea G.; Orme, Chris D. - In: Econometric theory 25 (2009) 2, pp. 364-410
Persistent link: https://www.econbiz.de/10003818296
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Fitting vast dimensional time-varying covariance models
Engle, Robert F.; Shephard, Neil G.; Sheppard, Kevin - 2008
Persistent link: https://www.econbiz.de/10003818564
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Duration-based volatility estimation
Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2009
Persistent link: https://www.econbiz.de/10003854415
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Least absolute deviation estimation for unit root processes with GARCH errors
Li, Guodong; Li, Wai Keung - In: Econometric theory 25 (2009) 5, pp. 1208-1227
Persistent link: https://www.econbiz.de/10003885748