Quasi-maximum likelihood estimation of GARCH models in the presence of missing values-Reference-Cited by-同舟云学术

Quasi-maximum likelihood estimation of GARCH models in the presence of missing values

Published:2018-11-15 Issue:2 Volume:89 Page:292-314
ISSN:0094-9655
Container-title:Journal of Statistical Computation and Simulation
language:en
Short-container-title:Journal of Statistical Computation and Simulation

Author:

Cascone Marcos H.¹,Hotta Luiz K.¹^ORCID

Affiliation:

1. Department of Statistics, Institute of Mathematics, Statistics and Computing Science, University of Campinas, Campinas, Brazil

Funder

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior

Fundação de Amparo à Pesquisa do Estado de São Paulo

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/00949655.2018.1546860

Reference20 articles.

1. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

2. Generalized autoregressive conditional heteroskedasticity

3. Sucarrat G, Escribano Á. Unbiased QML estimation of log-GARCH models in the presence of zero returns. MPRA Paper No. 59040; [cited 2014]. Available from: http://mpra.ub.uni-muenchen.de/59040

4. Time Series Analysis and Its Applications

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