Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Reference33 articles.
1. Generalized autoregressive conditional heteroskedasticity
2. Stationarity of Garch processes and of some nonnegative time series
3. Benchmarks and the accuracy of GARCH model estimation
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