Practical Issues in the Analysis of Univariate GARCH Models Page 1 Practical Issues in the
Analysis of Univariate GARCH Models Eric Zivot Abstract This chapter gives a tour through …

We introduce the realized exponential GARCH model that can use multiple realized volatility
measures for the modeling of a return series. The model specifies the dynamic properties of …

Consistency and asymptotic normality are established for the highly applied quasi-maximum
likelihood estimator in the GARCH (1, 1) model. Contrary to existing literature we allow the …

We establish consistency and asymptotic normality of the quasi‐maximum likelihood
estimator in the linear ARCH model. Contrary to the existing literature, we allow the …

We develop a class of Poisson autoregressive models with exogenous covariates (PARX)
that can be used to model and forecast time series of counts. We establish the time series …

This article investigates the asymptotic properties of the Gaussian quasi-maximum-
likelihood estimators (QMLE's) of the GARCH model augmented by including an additional …

The paper investigates the asymptotic theory for a multivariate GARCH model in its general
vector specification proposed by Bollerslev, Engle and Wooldridge (1988)[4], known as the …

The asymptotic distribution of the Gaussian quasi-maximum likelihood estimator (QMLE) is
obtained for a wide class of asymmetric GARCH models with exogenous covariates. The …

We investigate a class of semiparametric ARCH (∞) models that includes as a special case
the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which …

In this paper, we consider asymptotic inference in the multivariate BEKK model based on
(co) variance targeting (VT). By definition the VT estimator is a two‐step estimator and the …