Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
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References listed on IDEAS
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- Christian Francq & Lajos Horváth & Jean-Michel Zakoïan, 2016.
"Variance Targeting Estimation of Multivariate GARCH Models,"
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- Francq, Christian & Thieu, Le Quyen, 2015. "Qml inference for volatility models with covariates," MPRA Paper 63198, University Library of Munich, Germany.
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"Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons,"
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- Christian Francq & Jean-Michel Zakoïan, 2008. "Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons," Working Papers 2008-04, Center for Research in Economics and Statistics.
- Francq, Christian & Zakoian, Jean-Michel, 2008. "Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons," MPRA Paper 16672, University Library of Munich, Germany.
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- Li, Dong & Li, Muyi & Wu, Wuqing, 2014. "On dynamics of volatilities in nonstationary GARCH models," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 86-90.
- Preminger, Arie & Storti, Giuseppe, 2014. "Least squares estimation for GARCH (1,1) model with heavy tailed errors," MPRA Paper 59082, University Library of Munich, Germany.
More about this item
KeywordsBoundary of the parameter space Conditional heteroskedasticity GARCH model Quasi-maximum likelihood estimation Non-normal asymptotic distribution;
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