ନ୍ୟୁଜ୍

This article examines the persistence of the variance, as measured by the generalized auto-regressive conditional heteroskedasticity (GARCH) model, in stock-return data. In particular, we investigate ...
This paper investigates the asymptotic theory of the quasi-maximum exponential likelihood estimators (QMELE) for ARMA—GARCH models. Under only a fractional moment condition, the strong consistency and ...