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A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data

Liu, Cheng; Tang, Cheng Yong - In: Journal of econometrics 180 (2014) 2, pp. 217-232

Persistent link: https://www.econbiz.de/10010433385

Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing

Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - 2023

Persistent link: https://www.econbiz.de/10014281687

QMLE of a standard exponential ACD model : asymptotic distribution and residual correlation

Sin, Chor-yiu - In: Annals of financial economics 9 (2014) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10010489087

Non-parametric estimation of copula parameters : testing for time-varying correlation

Gong, Jinguo; Wu, Weiou; McMillan, David G.; Shi, Daimin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 93-106

Persistent link: https://www.econbiz.de/10011311193

Weak diffusion limits of dynamic conditional correlation models

Hafner, Christian M.; Laurent, Sébastien; Violante, … - 2016

Persistent link: https://www.econbiz.de/10011589493

Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing

Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - In: International review of financial analysis 87 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014460484

GARCH models without positivity constraints : exponential or log GARCH?

Francq, Christian; Wintenberger, Olivier; Zakoïan, … - In: Journal of econometrics 177 (2013) 1, pp. 34-46

Persistent link: https://www.econbiz.de/10010189881

Risk-parameter estimation in volatility models

Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173

Persistent link: https://www.econbiz.de/10011326796

Right on target, or is it? : the role of distributional shape in variance targeting

Anatolyev, Stanislav; Khrapov, Stanislav - In: Econometrics : open access journal 3 (2015) 3, pp. 610-632

Estimation of GARCH models can be simplified by augmenting quasi-maximum likelihood (QML) estimation with variance targeting, which reduces the degree of parameterization and facilitates estimation. We compare the two approaches and investigate, via simulations, how non-normality features of the...

Persistent link: https://www.econbiz.de/10011410634

An exponential Chi-squared QMLE for log-GARCH models via the ARMA representation

Francq, Christian; Sucarrat, Genaro - In: Journal of financial econometrics : official journal of … 16 (2018) 1, pp. 129-154

Persistent link: https://www.econbiz.de/10011987691