Whittle Estimation Of Arch Models
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References listed on IDEAS
- Robinson, P M, 1991. "Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models," Econometrica, Econometric Society, vol. 59(5), pages 1329-1363, September.
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- Andrew Harvey (ed.), 1994. "Time Series," Books, Edward Elgar Publishing, volume 0, number 599.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2004. "LARCH, leverage, and long memory," LSE Research Online Documents on Economics 294, London School of Economics and Political Science, LSE Library.
- Liudas Giraitis, 2004. "LARCH, Leverage, and Long Memory," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 177-210.
- repec:hal:journl:halshs-00235179 is not listed on IDEAS
- Jörg Polzehl & Vladimir Spokoiny, 2006. "Varying coefficient GARCH versus local constant volatility modeling. Comparison of the predictive power," SFB 649 Discussion Papers SFB649DP2006-033, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Abdou Kâ Diongue & Dominique Guegan, 2008.
"Estimation of k-factor GIGARCH process : a Monte Carlo study,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
- Diongue Abdou Ka & Dominique Guegan, 2008. "Estimation of k-Factor Gigarch Process: A Monte Carlo Study," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00375758, HAL.
- Abdou Kâ Diongue & Dominique Guegan, 2008. "Estimation of k-factor GIGARCH process : a Monte Carlo study," Documents de travail du Centre d'Economie de la Sorbonne b08004, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Robinson, Peter M. & Zafaroni, Paolo, 2005. "Pseudo-maximum likelihood estimation of ARCH models," LSE Research Online Documents on Economics 4544, London School of Economics and Political Science, LSE Library.
- Huang, Da & Wang, Hansheng & Yao, Qiwei, 2008. "Estimating GARCH models: when to use what?," LSE Research Online Documents on Economics 5398, London School of Economics and Political Science, LSE Library.
- Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2010. "Auto-correlated behavior of WTI crude oil volatilities: A multiscale perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5759-5768.
- Zaffaroni, Paolo, 2009. "Whittle estimation of EGARCH and other exponential volatility models," Journal of Econometrics, Elsevier, vol. 151(2), pages 190-200, August.
- Robinson, Peter M. & Zaffaroni, Paolo, 2005. "Pseudo-maximum likelihood estimation of ARCH(∞) models," LSE Research Online Documents on Economics 58182, London School of Economics and Political Science, LSE Library.
- Peter M Robinson & Paolo Zaffaroni, 2005. "Pseudo-Maximum Likelihood Estimation of ARCH(8) Models," STICERD - Econometrics Paper Series 495, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Tomohito Naito & Kohei Asai & Tomoyuki Amano & Masanobu Taniguchi, 2010. "Local Whittle likelihood estimators and tests for non-Gaussian stationary processes," Statistical Inference for Stochastic Processes, Springer, vol. 13(3), pages 163-174, October.
- Prono, Todd, 2016. "Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance," Finance and Economics Discussion Series 2016-083, Board of Governors of the Federal Reserve System (U.S.), revised Jul 2017.
- Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
- Han, Heejoon & Park, Joon Y., 2012. "ARCH/GARCH with persistent covariate: Asymptotic theory of MLE," Journal of Econometrics, Elsevier, vol. 167(1), pages 95-112.
- Jean-Marc Bardet & Paul Doukhan & José Rafael León, 2008. "Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 906-945, September.
- repec:bla:jtsera:v:38:y:2017:i:2:p:204-224 is not listed on IDEAS
- Liudas Giraitis & Remigijus Leipus & Peter M Robinson & Donatas Surgailis, 2003. "LARCH, Leverage and Long Memory," STICERD - Econometrics Paper Series 460, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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