Functional GARCH models: The quasi-likelihood approach and its applications

Clément Cerovecki, Christian Francq, Siegfried Hörmann and Jean-Michel Zakoïan
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Jean-Michel Zakoïan: LFA - Laboratoire de Finance Assurance - Centre de Recherche en Économie et Statistique (CREST) - Groupe ENSAE-ENSAI - Groupe des Écoles Nationales d'Économie et Statistique

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Date: 2019-04
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Published in Journal of Econometrics, 2019, 209 (2), pp.353-375. ⟨10.1016/j.jeconom.2019.01.006⟩

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Journal Article: Functional GARCH models: The quasi-likelihood approach and its applications (2019)
Working Paper: Functional GARCH models: the quasi-likelihood approach and its applications (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05417265

DOI: 10.1016/j.jeconom.2019.01.006

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