Concepedia

Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero

Christian Francq, Jean‐Michel Zakoïan

Stochastic Processes and their Applications · 2007 · 78 citations · 22 references

DOI

Concepts

References

22

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

, , +11

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

, , +15

Stationarity and Persistence in the GARCH(1,1) Model

Daniel B. Nelson · Econometric Theory · 1990 · 1.1K citations

, , +14

On the Distribution of the Likelihood Ratio

Herman Chernoff · The Annals of Mathematical Statistics · 1954 · 798 citations · Full text

, , +15

Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

Christian Francq, Jean‐Michel Zakoïan · Bernoulli · 2004 · 584 citations · Full text

, , +15