Univariate GARCH models: a survey (in Russian)
AbstractThis article presents a survey of the developments of univariate GARCH models. ARCH, GARCH, EGARCH and other possible nonlinear extensions are examined. Conditions for stationarity (weak and strong) are presented. Inference and testing is presented in the quasi-maximum likelihood framework. Continuous GARCH approximations are discussed.
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Bibliographic InfoArticle provided by Quantile in its journal Quantile.
Volume (Year): (2010)
Issue (Month): 8 (July)
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Web page: http://quantile.ru/
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- Tsyplakov, Alexander, 2012. "Assessment of probabilistic forecasts: Proper scoring rules and moments," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 27(3), pages 115-132.
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