A note on GARCH model identification

DOI10.1016/j.camwa.2007.10.001zbMath1142.62394OpenAlexW2075897476MaRDI QIDQ945144

B. E. Eshmatov

Publication date: 11 September 2008

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2007.10.001

zbMATH Keywords

least squaresGARCHleast absolute deviationestimating functionsmodel identification

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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Cites Work

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• Random coefficient GARCH models
• Random coefficient autoregressive models: an introduction
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• MINIMUM MSE ESTIMATION BY LINEAR COMBINATIONS OF ORDER STATISTICS1
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation