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A Unified Framework for Robust and Efficient Inference on GARCH Models under Heavy Tails, Skewness, and Nonstationarity

https://doi.org/10.2139/ssrn.5722276
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9781119313472openalex-snapshot
GARCH Models
inferredcites →https://doi.org/10.1002/jae.3950100305openalex-snapshot
Maximum likelihood estimation of a GARCH‐stable model
inferredcites →https://doi.org/10.1016/0304-4076(86)90063-1openalex-snapshot
Generalized autoregressive conditional heteroskedasticity
inferredcites →https://doi.org/10.1016/j.csda.2010.07.012openalex-snapshot
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t -distribution
inferredcites →https://doi.org/10.1016/j.csda.2013.09.022openalex-snapshot
EGARCH models with fat tails, skewness and leverage
inferredcites →https://doi.org/10.1016/j.jbankfin.2007.03.009openalex-snapshot
The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR
inferredcites →https://doi.org/10.1016/j.jeconom.2005.01.010openalex-snapshot
Option valuation with conditional skewness
inferredcites →https://doi.org/10.1016/j.jeconom.2007.06.004openalex-snapshot
Estimation and tests for power-transformed and threshold GARCH models
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/j.jeconom.2015.03.025openalex-snapshot
Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
inferredcites →https://doi.org/10.1016/j.jeconom.2017.09.003openalex-snapshot
The ZD-GARCH model: A new way to study heteroscedasticity
inferredcites →https://doi.org/10.1016/j.jeconom.2020.10.007openalex-snapshot
Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
inferredcites →https://doi.org/10.1016/j.sciaf.2022.e01253openalex-snapshot
The exponentiated half logistic skew-t distribution with GARCH-type volatility models
inferredcites →https://doi.org/10.1016/s0304-4076(03)00088-5openalex-snapshot
Kurtosis of GARCH and stochastic volatility models with non-normal innovations
inferredcites →https://doi.org/10.1017/s0266466604206065openalex-snapshot
ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
inferredcites →https://doi.org/10.1080/01621459.2024.2415719openalex-snapshot
Matrix GARCH Model: Inference and Application
inferredcites →https://doi.org/10.1080/07350015.1990.10509794openalex-snapshot
Persistence in Variance, Structural Change, and the GARCH Model
inferredcites →https://doi.org/10.1080/07350015.1991.10509863openalex-snapshot
Semiparametric ARCH Models
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/10.1080/07350015.2014.977446openalex-snapshot
A New Pearson-Type QMLE for Conditionally Heteroscedastic Models
inferredcites →https://doi.org/10.1093/biomet/90.4.967openalex-snapshot
Least absolute deviations estimation for ARCH and GARCH models
inferredcites →https://doi.org/10.1093/biomet/asn014openalex-snapshot
Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
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/j.1467-9868.2012.01045.xopenalex-snapshot
Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
inferredcites →https://doi.org/10.1111/j.1751-5823.2000.tb00329.xopenalex-snapshot
Realistic Statistical Modelling of Financial Data
inferredcites →https://doi.org/10.1162/003465304323023886openalex-snapshot
Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects
inferredcites →https://doi.org/10.1214/009053604000000120openalex-snapshot
The efficiency of the estimators of the parameters in GARCH processes
inferredcites →https://doi.org/10.1214/13-aos1132openalex-snapshot
Inference in nonstationary asymmetric GARCH models
inferredcites →https://doi.org/10.2307/1912526openalex-snapshot
Maximum Likelihood Estimation of Misspecified 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/10.2307/1925546openalex-snapshot
A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return
inferredcites →https://doi.org/10.2307/2171754openalex-snapshot
Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
inferredcites →https://doi.org/10.2307/2171862openalex-snapshot
Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
inferredcites →https://doi.org/10.2307/2526988openalex-snapshot
A Class of Nonlinear Arch Models
inferredcites →https://doi.org/10.3150/bj/1068128975openalex-snapshot
GARCH processes: structure and estimation
inferredcites →https://doi.org/10.3150/bj/1093265632openalex-snapshot
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
inferredcites →https://doi.org/10.3923/ajaps.2018.38.45openalex-snapshot
On Exponentiated Skewed Student T Error Distribution on Some Volatility Models: Evidence of Standard and Poor-500 Index Return
inferredcites →https://doi.org/10.3934/qfe.2019.4.739openalex-snapshot
Modelling the volatility of Bitcoin returns using GARCH models
inferredcites →https://doi.org/10.3982/ecta9405openalex-snapshot
Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models
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