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Quasi Maximum Likelihood Estimation of GARCH Models with Heavy-Tailed Likelihoods
1 of 28 checkable references need attention · checked 2026-08-27
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References needing attention
does not resolve to a known work10.2307/1391528
The 27 checked references that resolve
resolves10.1214/009053604000000120
The efficiency of the estimators of the parameters in GARCH processes
resolves10.2307/1925546
A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return
resolves10.1080/07474939208800229
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
resolves10.1016/0304-4076(92)90067-2
Stationarity of Garch processes and of some nonnegative time series
resolves10.2307/1912773
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
resolves10.1016/j.jeconom.2011.08.001
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
resolves10.1016/s0304-4076(99)00005-6
Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
resolves10.1017/s0266466600008215
Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator
resolves10.1111/j.1467-9469.2008.00624.x
Normal Mixture Quasi‐maximum Likelihood Estimator for GARCH Models
resolves10.1111/j.1467-9469.2012.00805.x
Inference for Box–Cox Transformed Threshold GARCH Models with Nuisance Parameters
resolves10.2307/2171862
Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
resolves10.2307/2171754
Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
resolves10.1016/j.jeconom.2005.03.019
Semiparametric efficient adaptive estimation of asymmetric GARCH models
The 5 references without a DOI — listed, not checked
no DOI — not checkedref1
no DOI — not checkedNote: We report the RMSE of GQMLE in bold and the relative RMSE ratio of other estimators against GQMLE. The innovation errors follow Generalized Gaussian distribution with shape parameters
no DOI — not checkedAdaptive estimation in time-series models
no DOI — not checkedConsistency in heteroskedastic models
no DOI — not checkedref17
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