An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation*

Christian Francq () and Genaro Sucarrat
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Christian Francq: CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - GENES - Groupe des Écoles Nationales d'Économie et Statistique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - GENES - Groupe des Écoles Nationales d'Économie et Statistique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, IP Paris - Institut Polytechnique de Paris
Genaro Sucarrat: BI Norwegian Business School [Oslo]

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Date: 2018-01-01
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Published in Journal of Financial Econometrics, 2018, 16 (1), pp.129-154. ⟨10.1093/jjfinec/nbx032⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05417304

DOI: 10.1093/jjfinec/nbx032

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