Least squares estimation of ARCH models with missing observations-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Least squares estimation of ARCH models with missing observations

Published:2012-05-22 Issue:6 Volume:33 Page:880-891
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:

Author:

Bondon Pascal,Bahamonde Natalia

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9892.2012.00803.x/fullpdf

Reference31 articles.

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

2. The Lindeberg-Lévy theorem for martingales;Billingsley;Proceedings of the American Mathematical Society,1961

3. Spectral analysis with randomly missing observations;Bloomfield;Journal of the Royal Statistical Society Series B,1970

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

5. Estimating the ARCH parameters by solving linear equations;Bose;Journal of Time Series Analysis,2003

Cited by 13 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Estimating GARCH(1,1) in the presence of missing data;The Annals of Applied Statistics;2023-09-01

2. On the correlation analysis of stocks with zero returns;Canadian Journal of Statistics;2023-07-09

3. Environmental effect on the variability of anchovy (Engraulis ringens) in northern Chile: Autoregressive conditional heteroskedastic approach with exogenonus variable and missing values;Fisheries Research;2023-04

4. Stochastic volatility with missing data: Assessing the effects of holidays;Communications in Statistics: Case Studies, Data Analysis and Applications;2022-06-14

5. Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo;Econometrics and Statistics;2022-01

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3