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GARCH models are useful tools in the investigation of phenomena, where volatility changes are prominent features, like most financial data. The parameter estimation via quasi maximum likelihood (QMLE)...
The non-Gaussian quasi maximum likelihood estimator is frequently used in GARCH models with intension to improve the efficiency of the GARCH parameters. However, the method is usually inconsistent u...
We introduce a new variant of the tempered stable distribution, named the modified tempered stable (MTS) distribution and we develop a GARCH option pricing model with MTS innovations. This model al...
This paper reviews several MCMC methods for estimating the class of ARCH models, and compare performances of them. With respect to the mixing, efficiency and computational requirement of the MCMC, thi...

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