A profile Godambe information of power transformations for ARCH time series
Author:
Affiliation:
1. Department of Statistics, Sookmyung Women's University, Seoul, Korea
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2016.1139133
Reference15 articles.
1. Realized Volatility
2. GARCH processes: structure and estimation
3. Optimal predictions of powers of conditionally heteroscedastic processes
4. The foundations of finite sample estimation in stochastic processes
5. A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
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