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Estimation of the maximal moment exponent of a GARCH (1,1) sequence
Berkes, István; Horváth, Lajos; Kokoszka, Piotr - In: Econometric theory 19 (2003) 4, pp. 565-586
Persistent link: https://www.econbiz.de/10001777182
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Advances in the specification and the estimation of multivariate GARCH models
Rombouts, Jeroen V. K. - 2004
Persistent link: https://www.econbiz.de/10002362723
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Asymptotic inference for nonstationary GARCH
Jensen, Søren Tolver; Rahbek, Anders - In: Econometric theory 20 (2004) 6, pp. 1203-1226
Persistent link: https://www.econbiz.de/10002424931
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Constrained indirect estimation
Calzolari, Giorgio; Fiorentini, Gabriele - In: The review of economic studies 71 (2004) 4, pp. 945-973
Persistent link: https://www.econbiz.de/10002377654
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Measuring tail thickness under GARCH and an application to extreme exchange rate changes
Wagner, Niklas F.; Marsh, Terry Alan - In: Journal of empirical finance 12 (2005) 1, pp. 165-185
Persistent link: https://www.econbiz.de/10002644047
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Extremal behavior of finite EGARCH processes
Lindner, Alexander M. (contributor);  … - 2003
Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the … GARCH ; extreme value theory ; tail behavior ; Gumbel distribution ; conditional variance ; Gaussian tail ; stochastic …
Persistent link: https://www.econbiz.de/10002719797
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Constrained indirect inference estimation
Calzolari, Giorgio; Fiorentini, Gabriele; Sentana, Enrique - 2001
Persistent link: https://www.econbiz.de/10001599297
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A simple efficient GMM estimator of GARCH models
Skoglund, Jimmy (contributor) - 2001 - [Elektronische Ressource]
This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general...
Persistent link: https://www.econbiz.de/10001600059
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Nonparametric estimators of GARCH processes
Franke, Jürgen; Holzberger, Harriet; Müller, Marlene - 2002
Persistent link: https://www.econbiz.de/10001684953
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Simultaneously modelling conditional heteroskedasticity and scale change
Feng, Yuanhua - 2002
Persistent link: https://www.econbiz.de/10001686434