Likelihood inference in BL-GARCH models

DOI10.1007/BF03354605zbMath1037.62091OpenAlexW2051514828MaRDI QIDQ1424647

Cosmio Vitale, Giuseppe Storti

Publication date: 16 March 2004

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf03354605

zbMATH Keywords

stationarityEM-algorithmstate-space representationunconditional momentsbilinear GARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (4)

Markov-switching BILINEAR − GARCH models: Structure and estimation ⋮ BL-GARCH models with elliptical distributed innovations ⋮ Modelling asymmetric volatility dynamics by multivariate BL-GARCH models ⋮ QMLE of periodic time-varying bilinear– GARCH models

Uses Software

• astsa

Cites Work

• Unnamed Item
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• BL-GARCH models and asymmetries in volatility
• Generalized autoregressive conditional heteroscedasticity
• An algorithm for estimating parameters of state-space models
• Maximum likelihood estimation via the ECM algorithm: A general framework
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quadratic ARCH Models

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