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QMLE for Quadratic ARCH Model with Long Memory

  • Published:2016-12-19 Issue:4 Volume:38 Page:535-551
  • ISSN:0143-9782
  • Container-title:Journal of Time Series Analysis
  • language:en
  • Short-container-title:J. Time Ser. Anal.

Author:

Grublytė Ieva12,Surgailis Donatas2,Škarnulis Andrius2

Affiliation:

1. Départament de Mathématiques; Université de Cergy-Pontoise; Cergy-Pontoise France

2. Institute of Mathematics and Informatics; Vilnius University; Vilnius Lithuania

Funder

Lietuvos Mokslo Taryba

Publisher

Wiley

Subject

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

Reference16 articles.

Cited by 4 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. A new estimator for LARCH processes;Journal of Time Series Analysis;2023-04-11

2. Model Selection and Post Selection to Improve the Estimation of the ARCH Model;Journal of Risk and Financial Management;2022-04-10

3. Multivariate GARCH models;Multivariate Time Series Analysis and Applications;2019-02-22

4. A nonlinear model for long-memory conditional heteroscedasticity*;Lithuanian Mathematical Journal;2016-04
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