42 citations · 89 across the 8 of their papers we have counts for
Showing math.STShow all
2 papers · 1 filter
math.ST2012★ 14 cited
Limit experiments of GARCH
Boris Buchmann, Gernot Müller
GARCH is one of the most prominent nonlinear time series models, both widely applied and thoroughly studied. Recently, it has been shown that the COGARCH model (which was introduce…
math.ST2007★ 42 cited
Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
Boris Buchmann, Ngai Hang Chan
This paper considers the effect of least squares procedures for nearly unstable linear time series with strongly dependent innovations. Under a general framework and appropriate sc…