ESTIMATING WEAK GARCH REPRESENTATIONS

By Christian Francq, Jean-Michel Zakoian. Econometric Theory, 2000

51 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/462e27ff1e9e2de6ba70a8de928fc53d1ed279ee

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

1. Christian M. Hafner

In Finance

1. Christian M. Hafner
2. Helmut Herwartz
3. Carsten Jentsch
4. Carsten Trenkler
5. R. Brüggemann

Citations in the corpus

• Temporal aggregation of multivariate GARCH processes (2004, methodology): “If the errors ut of the VARMA representation of multivariate GARCH models were Gaussian, then an estimate of the GCV measure, multiplied by the sample size T , would be the usual likelihood ratio statistic, having an asymptotic χ distribution, see Geweke (1982). Now ut is not Gaussian but skewed and”