most citedQuasi-MLE for quadratic ARCH model with long memory

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math.ST2015★ 2 cited

Quasi-MLE for quadratic ARCH model with long memory

Ieva Grublytė, Donatas Surgailis, Andrius Škarnulis

We discuss parametric quasi-maximum likelihood estimation for quadratic ARCH process with long memory introduced in Doukhan et al. (2015) and Grublytė and Škarnulis (2015) with con…