The asymptotic convexity of the negative likelihood function of GARCH models
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- Werge, Nicklas & Wintenberger, Olivier, 2022.
"AdaVol: An Adaptive Recursive Volatility Prediction Method,"
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- Nicklas Werge & Olivier Wintenberger, 2020. "AdaVol: An Adaptive Recursive Volatility Prediction Method," Papers 2006.02077, arXiv.org, revised Jan 2021.
- Nicklas Werge & Olivier Wintenberger, 2022. "AdaVol: An Adaptive Recursive Volatility Prediction Method," Post-Print hal-02733439, HAL.
- Guo, Zi-Yi, 2017. "Empirical Performance of GARCH Models with Heavy-tailed Innovations," EconStor Preprints 167626, ZBW - Leibniz Information Centre for Economics.
- Nicklas Werge & Olivier Wintenberger, 2020.
"AdaVol: An Adaptive Recursive Volatility Prediction Method,"
Papers
2006.02077, arXiv.org, revised Jan 2021.
- Nicklas Werge & Olivier Wintenberger, 2021. "AdaVol: An Adaptive Recursive Volatility Prediction Method," Working Papers hal-02733439, HAL.
- Ane, Thierry, 2006. "An analysis of the flexibility of Asymmetric Power GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1293-1311, November.
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