Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models
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Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 80 (2012)
Issue (Month): 2 (03)
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- Maddalena Cavicchioli, 2013. "On asymptotic properties of the QLM estimators for GARCH models," Economics Bulletin, AccessEcon, vol. 33(2), pages 959-966.
- Wang, Hui & Pan, Jiazhu, 2014. "Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 117-123.
- Monica Billio & Maddalena Cavicchioli, 2013. "“Markov Switching Models for Volatility: Filtering, Approximation and Duality”," Working Papers 2013:24, Department of Economics, University of Venice "Ca' Foscari".
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