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

410 citations · 410 across the 2 of their papers we have counts for

collaborators

2 papers

math.PR2014

General inverse problems for regular variation

Ewa Damek, Thomas Mikosch, Jan Rosinski +1

Regular variation of distributional tails is known to be preserved by various linear transformations of some random structures. An inverse problem for regular variation aims at und…

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…