Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation
Author:
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/03610910802395653
Reference28 articles.
1. Bayesian estimation of the Gaussian mixture GARCH model
2. Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
3. Stationarity domains for -power Garch process with heavy tails
4. GARCH processes: structure and estimation
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