The GJR GARCH(1,1) Process As Regularly Varying: Implications for Efficient Model Estimation and Risk Measurement-Reference-Cited by-同舟云学术

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The GJR GARCH(1,1) Process As Regularly Varying: Implications for Efficient Model Estimation and Risk Measurement

Published:2018 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Prono Todd

Publisher

Elsevier BV

Reference36 articles.

1. Regular variation of garch processes;B Basrak;Stochastic Processes and Their Applications,2002

2. Estimation of the maximal moment exponent of a garch(1,1) sequence;I Berkes;Econometric Theory,2003

3. The e� ciency of the estimators of the parameters in garch processes;I Berkes;Annals of Statistics,2004

4. GARCH processes: structure and estimation;I Berkes;Bernoulli,2003

5. Generalized autoregressive conditional heteroskedasticity;T Bollerslev;Journal of Econometrics,1986

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