QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES

DOI10.1017/S0266466617000512zbMath1415.62078OpenAlexW3021392366MaRDI QIDQ4629565

Le Quyen Thieu, Christian Francq

Publication date: 27 March 2019

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466617000512

zbMATH Keywords

asymmetric GARCH modelGaussian quasi-maximum likelihood estimator (QMLE)

Mathematics Subject Classification ID

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

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Uses Software

• WeightedPortTest

Cites Work

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