Estimation of GARCH Models from the Autocorrelations of the Squares of a Process

DOI10.1111/1467-9892.00245zbMath0984.62063OpenAlexW2089835599MaRDI QIDQ2784952

Richard T. Baillie, Huimin Chung

Publication date: 24 April 2002

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00245

zbMATH Keywords

minimum distance estimatorGARCH processesexchange rate returns

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)

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