Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods
By Jianqing Fan, Lei Qi, D. Xiu. 2014
132 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/7da622fa39ff1149d6d6d3807d7d2e7fd555447b
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
- Francisco Blasques
- S. J. Koopman
- Olivier Wintenberger
- Paolo Gorgi
- André Lucas
- Rutger Lit
- Hiroki Masuda
In Finance
- Francisco Blasques
- S. J. Koopman
- Paolo Gorgi
- Olivier Wintenberger
- André Lucas
- Rutger Lit
- Christian Francq
- Jean-Michel Zakoian
Citations in the corpus
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models (2018, background): “In this setting, theoretical properties of QML estimation with non-Gaussian conditional distributions as in [21] could be investigated.”