Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes

By Tawfik Hamadeh, Jean-Michel Zakoian. 2011

63 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4918b319f67d792cbc00deba89a93e04e8ef35fe

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. Le Quyen Thieu
2. Christian Francq
3. Jean-Michel Zakoian
4. Olivier Wintenberger
5. S. Ling
6. Christian M. Hafner
7. A. Ahmad

In Finance

1. Le Quyen Thieu
2. Christian Francq
3. Jean-Michel Zakoian
4. Olivier Wintenberger
5. S. Ling
6. Christian M. Hafner

Citations in the corpus

• QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES (2015, background): “In particular, Han and Kristensen (2014) studied the inference of the standard GARCH(1,1) model augmented by an additional covariate. With the aim to detect simultaneously causality-in-mean and causality-in-variance, Guo, Ling, and Zhu (2014) studied the factor double autoregressive model, whose par”