Add to ORKGVariance targeting estimation is a technique used to alleviate the numerical difficulties encountered in the quasi-maximum likelihood (QML) estimation of GARCH models. It relies on a reparameterization of the model and a first-step estimation of the unconditional variance. The remaining parameters are estimated by QML in a second step. This paper establishes the asymptotic distribution of the estimators obtained by this method in univariate GARCH models. Comparisons with the standard QML are provided and the merits of the variance targeting method are discussed. In particular, it is shown that when the model is misspecified, the VTE can be superior to the QMLE for long-term prediction or Value-at-Risk calculation. An empirical application b...
The asymptotic distribution of the Gaussian quasi-maximum likelihood estimator (QMLE) is obtained fo...
The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved partic...
Generally, in empirical financial studies, the determination of the true conditional variance in GAR...
Variance targeting estimation is a technique used to alleviate the numerical difficulties encountere...
Variance targeting estimation is a technique used to alleviate the numerical difficulties en-counter...
Estimation of GARCH models can be simplified by augmenting quasi-maximum likelihood (QML) estimation...
We establish the strong consistency and the asymptotic normality of the variance-targeting estimato...
In setting up the (quasi) maximum likelihood (QML) estimation of the unknown parameters of a GARCH m...
ABSTRACT. In setting up the (quasi) maximum likelihood (QML) estimation of the unknown parame-ters o...
Parameter estimation in Generalized Autoregressive Conditional Heteroscedastic (GARCH) model has rec...
The application of the Variance Targeting Estimator (VTE) is considered in GJR-GARCH(1,1) model, und...
Generalized autoregressive conditional heteroscedasticity (GARCH) models are widely used in financia...
This note can be considered as a continuation of a nice paper from Francq and Zakoian (2012) concern...
The aims of this study is to investigate two issues that affect the estimator's performance which ar...
We provide three new results concerning quasi-maximum likelihood (QML) estimators in generalized aut...
The asymptotic distribution of the Gaussian quasi-maximum likelihood estimator (QMLE) is obtained fo...
The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved partic...
Generally, in empirical financial studies, the determination of the true conditional variance in GAR...
Variance targeting estimation is a technique used to alleviate the numerical difficulties encountere...
Variance targeting estimation is a technique used to alleviate the numerical difficulties en-counter...
Estimation of GARCH models can be simplified by augmenting quasi-maximum likelihood (QML) estimation...
We establish the strong consistency and the asymptotic normality of the variance-targeting estimato...
In setting up the (quasi) maximum likelihood (QML) estimation of the unknown parameters of a GARCH m...
ABSTRACT. In setting up the (quasi) maximum likelihood (QML) estimation of the unknown parame-ters o...
Parameter estimation in Generalized Autoregressive Conditional Heteroscedastic (GARCH) model has rec...
The application of the Variance Targeting Estimator (VTE) is considered in GJR-GARCH(1,1) model, und...
Generalized autoregressive conditional heteroscedasticity (GARCH) models are widely used in financia...
This note can be considered as a continuation of a nice paper from Francq and Zakoian (2012) concern...
The aims of this study is to investigate two issues that affect the estimator's performance which ar...
We provide three new results concerning quasi-maximum likelihood (QML) estimators in generalized aut...
The asymptotic distribution of the Gaussian quasi-maximum likelihood estimator (QMLE) is obtained fo...
The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved partic...
Generally, in empirical financial studies, the determination of the true conditional variance in GAR...