Results for GARCH models

Publications & Outputs

1. M-Estimation in GARCH Models in the Absence of Higher-Order Moments

   Hallin, M., Liu, H. & Mukherjee, K., 1/06/2023, Research papers in Statistical Inference for Time Series and Related Models: Essays in Honor of Masanobu Taniguchi. 1 ed. Singapore: Springer, p. 195-219 25 p.

   Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

2. R-estimators in GARCH models: asymptotics and applications

   Liu, H. & Mukherjee, K., 31/12/2021, In: The Econometrics Journal. 25, 1, p. 98-113 16 p.

   Research output: Contribution to Journal/Magazine › Journal article › peer-review

3. Asymptotic properties of quasi-maximum likelihood estimators in observation-driven time series models∗

   Douc, R., Fokianos, K. & Moulines, E., 2017, In: Electronic Journal of Statistics. 11, 2, p. 2707-2740 34 p.

   Research output: Contribution to Journal/Magazine › Journal article › peer-review