Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
By Richard T. Baillie, Huimin Chung. 2001
64 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/767ca285fcea7dd41be95ffa18a0fde3d7b745ef
How researchers see this paper
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In Economics and Econometrics
- Jinki Kim
- Christian M. Hafner
- Arie Preminger
- Menelaos Karanasos
- Christian Conrad
- Stilianos Fountas
- Esther Ruiz
- Johan Segers
In Finance
- Jinki Kim
- Christian M. Hafner
- Arie Preminger
- Menelaos Karanasos
- Esther Ruiz
- Luiz Koodi Hotta
- D. Almeida
- Helmut Herwartz
Citations in the corpus
- Small sample properties of GARCH estimates and persistence (2006, background): “See Baillie and Chung (2001), for example.”
- Moments of the Arma-Egarch Model (2003, methodology): “Baillie, R. and H. Chung (2001).”
- ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL (2009, background): “, Baillie and Chung (2001), Kristensen and Linton (2006), and Storti (2006). The development of such an estimate in the multivariate context is, however, beyond the scope of this paper. Note that these estimators are based on the existence of higher order moments of the observed process, which might”