Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications-Reference-Cited by-同舟云学术

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Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications

Published:2019-05-30 Issue:11 Volume:50 Page:3338-3363
ISSN:0361-0918
Container-title:Communications in Statistics - Simulation and Computation
language:en
Short-container-title:Communications in Statistics - Simulation and Computation

Author:

Gammoudi Imed¹²,Nani Asma²,El Ghourabi Mohamed²³

Affiliation:

1. Department of Management Information Systems, College of Business Administration, Taibah University, Almadinah Almunawarrah, Saudi Arabia

2. Quantitative Analysis Research Group (Q.U.A.R.G.), University of Manouba, Manouba, Tunisia

3. Finance and Insurance Department, College of Business, Jeddah University, Jeddah, Saudi Arabia

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610918.2019.1622721

Reference28 articles.

1. The efficiency of the estimators of the parameters in GARCH processes

2. Stationarity and ergodicity of univariate generalized autoregressive score processes

3. Generalized autoregressive conditional heteroskedasticity

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Value-at-risk estimation by LS-SVR and FS-LS-SVR based on GAS model;Journal of Applied Statistics;2019-02-27

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