PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS
By Mika Meitz, Pentti Saikkonen. Econometric Theory, 2011
52 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/bbfa078be5821308b12893d9f9bd61c75625848d
How researchers see this paper
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In Economics and Econometrics
- Annastiina Silvennoinen
- Timo Teräsvirta
- Konstantinos Fokianos
- V. Christou
- Cristina Amado
- Eric Zivot
- Maria Pacurar
- Esther Ruiz
In Finance
- Timo Teräsvirta
- Annastiina Silvennoinen
- Konstantinos Fokianos
- V. Christou
- Eric Zivot
- Cristina Amado
- Esther Ruiz
- Christian Francq
In Statistics and Probability
- V. Christou
- Timo Teräsvirta
- Konstantinos Fokianos
- Annastiina Silvennoinen
- Maria Pacurar
- Sangyeol Lee
- Marcelo C. Medeiros
- Fukang Zhu
Citations in the corpus
- QUASI‐LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS (2013, result): “Similar results hold for GARCH models; see Berkes et al. (2003), Francq and Zakoïan (2004), Mikosch and Straumann (2006) and Meitz and Saikkonen (2011).”
- Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach (2015, background): “The difference between this model and that of Pelletier (2006) is that in this one, the variable controlling the transitions is continuous and observable.”