The Nonlinear Iterative Least Squares (NL-ILS) Estimator: An Application to Volatility Models
-
Published:2018
Issue:
Volume:
Page:
-
ISSN:1556-5068
-
Container-title:SSRN Electronic Journal
-
language:en
-
Short-container-title:SSRN Journal
Author:
Fruet Dias Gustavo
Reference28 articles.
1. Stock Returns and Volatility;R T Baillie;Journal of Financial and Quantitative Analysis,1990
2. Generalised Autoregressive Condidional Heteroskedasticity;T Bollerslev;Journal of Econometrics,1986
3. ARCH modeling in finance: A review of the theory and empirical evidence;T Bollerslev;Journal of Econometrics,1992