QMLE for Periodic Time-Varying Asymmetric $$\log $$ GARCH Models

GARCH processes: structure and estimation

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Business, Economics, Econometrics +14

Strict Stationarity of Generalized Autoregressive Processes

Philippe Bougerol, Nico Picard · The Annals of Probability · 1992 · 420 citations · Full text

Engineering, Economics, Stochastic Processes +9

Periodic Autoregressive Conditional Heteroscedasticity

Tim Bollerslev, Éric Ghysels · Journal of Business and Economic Statistics · 1996 · 353 citations

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Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

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Engineering, Economics, Econometrics +11

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

Social Sciences, Economics, Mathematics +10