Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

  • JEAN-MICHEL ZAKOÏAN
  • Published 2004
Since the seminal papers by Engle (1982) and Bollerslev (1986), generalized autoregressive conditional heteroscedastic (GARCH) processes have received considerable attention in the literature devoted to the analysis of financial time series. These time series models capture several important features of financial series, such as leptokurticity and… CONTINUE READING