Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
By Christian Francq, Jean-Michel Zakoian. 2007
78 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/1e28a3e18eb6413eff6b7975d9dbacc2d2f2bd91
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Christian Francq
- Jean-Michel Zakoian
- Abdelhakim Aknouche
- Abdelouahab Bibi
- Olivier Wintenberger
- S. Ling
- Christian M. Hafner
- A. Ahmad
In Finance
- Christian Francq
- Jean-Michel Zakoian
- Abdelhakim Aknouche
- Abdelouahab Bibi
- Olivier Wintenberger
- S. Ling
- Christian M. Hafner
- Jean‐Marc Bardet
Citations in the corpus
- PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS (2011, unknown): “ergodic process, and, quite recently, also by Escanciano (2009) and Linton, Pan, and Wang (in”
- Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons (2009, methodology): “The proof of the following result is given in Francq and Zakoian (2007) (hereinafter FZ).”
- Quasi‐maximum likelihood estimation of periodic GARCH and periodic ARMA‐GARCH processes (2009, background): “…(2000), Berkes et al. (2003), Ling and McAleer (2003), Berkes and Horvath (2004), Jensen and Rahbek (2004a,b), Straumann and Mikosch (2006), and Francq and Zakoı̈an (2004, 2007), is aimed at establishing consistency and asymptotic normality of the QMLE for GARCH processes with weak conditions…”