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Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE

https://doi.org/10.1515/snde-2017-0070
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-0-387-75953-1openalex-snapshot
Extreme Values, Regular Variation and Point Processes
inferredcites →https://doi.org/10.1007/978-3-642-33483-2openalex-snapshot
Modelling Extremal Events
inferredcites →https://doi.org/10.1016/0304-4076(86)90063-1openalex-snapshot
Generalized autoregressive conditional heteroskedasticity
inferredcites →https://doi.org/10.1016/0304-4076(92)90064-xopenalex-snapshot
ARCH modeling in finance
inferredcites →https://doi.org/10.1016/0927-5398(94)90004-3openalex-snapshot
Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets
inferredcites →https://doi.org/10.1016/j.jeconom.2011.08.001openalex-snapshot
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
inferredcites →https://doi.org/10.1016/s0165-1889(02)00079-9openalex-snapshot
Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements
inferredcites →https://doi.org/10.1016/s0167-7152(00)00222-4openalex-snapshot
Threshold ARCH(1) processes: asymptotic inference
inferredcites →https://doi.org/10.1016/s0169-2070(00)00070-4openalex-snapshot
Benchmarks and the accuracy of GARCH model estimation
inferredcites →https://doi.org/10.1016/s0304-4149(01)00156-9openalex-snapshot
Regular variation of GARCH processes
inferredcites →https://doi.org/10.1016/s0304-4149(02)00097-2openalex-snapshot
Whittle estimation in a heavy-tailed GARCH(1,1) model
inferredcites →https://doi.org/10.1017/cbo9780511753893openalex-snapshot
Theory of Financial Risk and Derivative Pricing
inferredcites →https://doi.org/10.1017/s0266466600011397openalex-snapshot
Asymptotic Theory for ARCH Models: Estimation and Testing
inferredcites →https://doi.org/10.1017/s0266466600165041openalex-snapshot
ESTIMATING WEAK GARCH REPRESENTATIONS
inferredcites →https://doi.org/10.1017/s0266466601173056openalex-snapshot
WHITTLE ESTIMATION OF ARCH MODELS
inferredcites →https://doi.org/10.1017/s0266466602181023openalex-snapshot
MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
inferredcites →https://doi.org/10.1017/s0266466602183010openalex-snapshot
EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITY
inferredcites →https://doi.org/10.1017/s0266466605050474openalex-snapshot
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
inferredcites →https://doi.org/10.1017/s0266466606060142openalex-snapshot
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
inferredcites →https://doi.org/10.1017/s0266466609990624openalex-snapshot
ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
inferredcites →https://doi.org/10.1017/s0266466616000256openalex-snapshot
AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL
inferredcites →https://doi.org/10.1080/00949655.2015.1077387openalex-snapshot
A robust closed-form estimator for the GARCH(1,1) model
inferredcites →https://doi.org/10.1080/07350015.2013.840239openalex-snapshot
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods
inferredcites →https://doi.org/10.1080/07474939208800229openalex-snapshot
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
inferredcites →https://doi.org/10.1108/s0731-905320140000033018openalex-snapshot
Stable Limit Theory for the Variance Targeting Estimator
inferredcites →https://doi.org/10.1111/1467-9892.00245openalex-snapshot
Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
inferredcites →https://doi.org/10.1111/1468-0262.00396openalex-snapshot
Inference in Arch and Garch Models with Heavy-Tailed Errors
inferredcites →https://doi.org/10.1111/ectj.12089openalex-snapshot
Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors
inferredcites →https://doi.org/10.1111/j.1468-0262.2004.00504.xopenalex-snapshot
Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05128.xopenalex-snapshot
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
inferredcites →https://doi.org/10.1198/073500102753410408openalex-snapshot
Bayesian Analysis of Stochastic Volatility Models
inferredcites →https://doi.org/10.1214/aoms/1177700291openalex-snapshot
Inequalities for the $r$th Absolute Moment of a Sum of Random Variables, $1 \leqq r \leqq 2$
inferredcites →https://doi.org/10.1214/aop/1176988294openalex-snapshot
Point Process and Partial Sum Convergence for Weakly Dependent Random Variables with Infinite Variance
inferredcites →https://doi.org/10.1214/aos/1015957401openalex-snapshot
Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process
inferredcites →https://doi.org/10.1214/aos/1024691368openalex-snapshot
The sample autocorrelations of heavy-tailed processes with applications to ARCH
inferredcites →https://doi.org/10.1214/aos/1176343247openalex-snapshot
A Simple General Approach to Inference About the Tail of a Distribution
inferredcites →https://doi.org/10.2139/ssrn.1771862openalex-snapshot
Statistical Modeling of Credit Default Swap Portfolios
inferredcites →https://doi.org/10.2139/ssrn.393660openalex-snapshot
Efficient Estimation of Second Moment Parameters in Arch Models
inferredcites →https://doi.org/10.2307/1912773openalex-snapshot
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
inferredcites →https://doi.org/10.2307/2171884openalex-snapshot
Constructing Instruments for Regressions With Measurement Error When no Additional Data are Available, with An Application to Patents and R&D
inferredcites →https://doi.org/10.2307/2527081openalex-snapshot
Autoregressive Conditional Density Estimation
inferredcites →https://doi.org/10.2307/2676230openalex-snapshot
Autoregressive Conditional Skewness
inferredcites →https://doi.org/10.2307/2951767openalex-snapshot
Temporal Aggregation of Garch Processes
inferredcites →https://doi.org/10.3233/jem-1999-0160openalex-snapshot
Benchmarks and software standards: A case study of GARCH procedures

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inferred← citeshttps://doi.org/10.2139/ssrn.3335546openalex-extracted
inferred← citeshttps://doi.org/10.17016/feds.2019.030openalex-snapshot
When Simplicity Offers a Benefit, Not a Cost: Closed-Form Estimation of the GARCH(1,1) Model that Enhances the Efficiency of Quasi-Maximum Likelihood
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