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Non-Gaussian Quasi Maximum Likelihood Estimation of GARCH Models
Non-Gaussian Quasi Maximum Likelihood Estimation GARCH Models
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2010/3/9
The non-Gaussian quasi maximum likelihood estimator is frequently used
in GARCH models with intension to improve the efficiency of the GARCH
parameters. However, the method is usually inconsistent u...
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series：A stochastic recurrence equations approach
Stochastic recurrence equation conditionally heteroscedastictime series GARCH asymmetric GARCH exponential GARCH EGARCH
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2010/4/27
This paper studies the quasi-maximum-likelihood estimator
(QMLE) in a general conditionally heteroscedastic time series model
of multiplicative form Xt = tZt, where the unobservable volatility t
...