Estimation in Conditionally Heteroscedastic Time Series Models

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Abstract

Introduction -- Financial time series: facts and models -- Some mathematical tools -- Parameter estimation: an overview -- The QMLE in heteroscedastic time series models: a stochastic recurrence equations approach -- Maximum-likelihood estimation in conditionally heteroscedastic time series models -- Whittle estimation in a heavy-tailed GARCH (1,1) model.

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Estimation in Conditionally Heteroscedastic Time Series Models. (2005). Estimation in Conditionally Heteroscedastic Time Series Models. Springer-Verlag. https://doi.org/10.1007/b138400

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