The L2-structures of standard and switching-regime GARCH models

By Christian Francq, Jean-Michel ZakoI¨an. 2005

76 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9f2ad91c3b0aa49120bfd696c2049d065e51b54a

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 Francq
2. Jean-Michel Zakoian
3. Roch Roy
4. Olivier Wintenberger
5. S. Ling
6. A. Ahmad
7. Christian M. Hafner
8. Xiaofeng Shao

In Finance

1. Christian Francq
2. Jean-Michel Zakoian
3. Roch Roy
4. Olivier Wintenberger
5. S. Ling
6. Christian M. Hafner
7. Xianyang Zhang
8. Xiaofeng Shao

Citations in the corpus

• Diagnostic Checking in ARMA Models With Uncorrelated Errors (2005, methodology): “In recent years, a large part of the time series and econometric literatures have been devoted to weaken the noise-dependence assumptions (see, e.g., Francq and Zakoïan 1998, 2000; Romano and Thombs 1996).”