The DOI matches its Crossref record; 19 of the 19 references it cites were found in a registry or an index.
Inequality Constraints in the Univariate GARCH Model
Abstract
To keep the conditional variances generated by the GARCH (p, q) model nonnegative, Bollerslev imposed nonnegativity constraints on the parameters of the process. We show that these constraints can be substantially weakened and so should not be imposed in estimation. We also provide empirical examples illustrating the importance of relaxing these constraints.
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Cites
Estimating the Dimension of a Model
Schwarz, G. (1978) · The Annals of Statistics · doi:10.1214/aos/1176344136 · Cited by 47,033
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Information Theory and an Extension of the Maximum Likelihood Principle
Akaike, H. (1998) · Springer Series in Statistics · doi:10.1007/978-1-4612-1694-0_15 · Cited by 17,781
Bollerslev, T., Chou, R. Y., & Kroner, K. F. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90064-x · Cited by 4,270
Introduction to Statistical Time Series
McClave, J. T. (1978) · Technometrics · doi:10.1080/00401706.1978.10489651 · Cited by 4,252
Expected stock returns and volatility
French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987) · Journal of Financial Economics · doi:10.1016/0304-405x(87)90026-2 · Cited by 4,107
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
Engle, R. F., Lilien, D. M., & Robins, R. P. (1987) · Econometrica · doi:10.2307/1913242 · Cited by 2,469
Introduction to Statistical Time Series.
Chatfield, C., & Fuller, W. A. (1977) · Journal of the Royal Statistical Society. Series A (General) · doi:10.2307/2344931 · Cited by 2,290
Introduction to linear and nonlinear programming
Polak, E. (1974) · IEEE Transactions on Automatic Control · doi:10.1109/tac.1974.1100535 · Cited by 2,100
Cited by
Modeling and pricing long memory in stock market volatility
Bollerslev, T., & Ole Mikkelsen, H. (1996) · Journal of Econometrics · doi:10.1016/0304-4076(95)01736-4 · Cited by 1,208
Sentana, E. (1995) · The Review of Economic Studies · doi:10.2307/2298081 · Cited by 549
Silvennoinen, A., & Teräsvirta, T. (2009) · Handbook of Financial Time Series · doi:10.1007/978-3-540-71297-8_9 · Cited by 452
Metadata
- Authors
- Nelson, D. B., & Cao, C. Q.
- Venue
- Journal of Business & Economic Statistics
- Publisher
- Informa UK Limited
- Published
- 1992-04
- Volume
- 10
- Issue
- 2
- Pages
- 229-235
- ISSN
- 0735-0015 (ISSN-L)
- 1537-2707
- OpenAlex
- W2066628373
- Cited by
- 608
- References
- 19
- FWCI
- 11.47
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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