Data cloning estimation of GARCH and COGARCH models

E-ISSN： 1563-5163|85|9|1818-1831

ISSN： 0094-9655

Source： Journal of Statistical Computation and Simulation, Vol.85, Iss.9, 2015-06, pp. : 1818-1831

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Estimation of temporally aggregated multivariate GARCH models

By Hafner Christian M.

Journal of Statistical Computation and Simulation, Vol. 77, Iss. 8, 2007-01 ,pp. : 629-650

Taylor & Francis Ltd

Access to resources Recommend Favorite

Effects of level shifts and temporary changes on the estimation of GARCH models

By Trivez F. Javier Catalan Beatriz

Journal of Statistical Computation and Simulation, Vol. 80, Iss. 6, 2010-06 ,pp. : 667-688

Taylor & Francis Ltd

Access to resources Recommend Favorite

Estimation and Asymptotic Properties in Periodic GARCH(1, 1) Models

By Bibi Abdelouahab Lescheb Ines

Communications in Statistics: Theory and Methods, Vol. 42, Iss. 19, 2013-10 ,pp. : 3497-3513

Taylor & Francis Ltd

Access to resources Recommend Favorite

Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods

By Fan Jianqing Qi Lei Xiu Dacheng

Journal of Business & Economic Statistics, Vol. 32, Iss. 2, 2014-04 ,pp. : 178-191

Taylor & Francis Ltd

Access to resources Recommend Favorite

Influential observations in GARCH models

By Zevallos Mauricio Hotta Luiz K.

Journal of Statistical Computation and Simulation, Vol. 82, Iss. 11, 2012-11 ,pp. : 1571-1589

Taylor & Francis Ltd

Access to resources Recommend Favorite