most citedQuasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach

410 citations · 410 across the 1 of their papers we have counts for

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math.ST2007★ 410 cited

Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach

Daniel Straumann, Thomas Mikosch

This paper studies the quasi-maximum-likelihood estimator (QMLE) in a general conditionally heteroscedastic time series model of multiplicative form , where the unobser…