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

Christian Francq and Genaro Sucarrat
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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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Related works:
Journal Article: An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation (2018)
Working Paper: An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05417304

DOI: 10.1093/jjfinec/nbx032

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