Parameter estimation for GARCH(1,1) models based on Kalman filter
type: Item
instance of: scholarly article
zbMATH Open document ID: 1279.62178
author: Jelloul Allal
author: Mohammed Benmoumen
publication date: 2012-05-21T00:00:00Z
full work available at URL: 6477.htm
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F10
Mathematics Subject Classification ID: 93E11
zbMATH DE Number: 6037151
zbMATH Keywords: GARCH models
zbMATH Keywords: quasi-maximum likelihood
zbMATH Keywords: Kalman filter
zbMATH Keywords: simultaneous perturbation stochastic approximation
MaRDI profile type: Publication
title: Parameter estimation for GARCH(1,1) models based on Kalman filter
published in: Advances and Applications in Statistics
description: scientific article; zbMATH DE number 6037151