When Simplicity Offers a Benefit, Not a Cost: Closed-Form Estimation of the GARCH(1,1) Model that Enhances the Efficiency of Quasi-Maximum Likelihood-Reference-Cited by-同舟云学术

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When Simplicity Offers a Benefit, Not a Cost: Closed-Form Estimation of the GARCH(1,1) Model that Enhances the Efficiency of Quasi-Maximum Likelihood

Published:2019 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Prono Todd

Publisher

Elsevier BV

Reference42 articles.

1. Modelling volatility by variance decomposition;C & T Amado;Journal of Econometrics,2013

2. Modelling changes in the unconditional variance of long stock return series;C & T Amado;Journal of Empirical Finance,2014

3. Intraday periodicity and volatility persistence in ?nan-cial markets;T G. & T Andersen;Journal of Empirical Finance,1997

4. The message in daily exchange rates: a conditionalvariance tale;R T Baillie;Journal of Business and Economic Statistics,1989

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

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