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Exact maximum likelihood estimation of ARCH models

Author

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  • Francis X. Diebold
  • Til Schuermann

Abstract

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Suggested Citation

  • Francis X. Diebold & Til Schuermann, 1993. "Exact maximum likelihood estimation of ARCH models," Working Papers 93-4, Federal Reserve Bank of Philadelphia.
    • Handle: RePEc:fip:fedpwp:93-4
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    Citations

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    Cited by:

    1. Stefan Mittnik & Marc Paolella & Svetlozar Rachev, 1998. "Unconditional and Conditional Distributional Models for the Nikkei Index," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 5(2), pages 99-128, May.
    2. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc.
    3. Eduardo Rossi, 2010. "Univariate GARCH models: a survey (in Russian)," Quantile, Quantile, issue 8, pages 1-67, July.

    More about this item

    Keywords

    Econometrics; time series analysis;

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