Keyphrases
Generalized Autoregressive Conditional Heteroscedasticity (GARCH)
75%
Limiting Distribution
63%
Data Generating Process
54%
Bootstrap
54%
Variance Targeting
54%
Heteroscedastic
54%
CCC-GARCH
54%
Infinite Fourth Moment
54%
GARCH-X
54%
Parameter Space
34%
X-type
27%
Autoregression
27%
Tail Behavior
27%
Robust Inference
27%
Volatility
27%
Autoregressive Conditional Heteroskedasticity
27%
Bootstrap Inference
27%
BEKK-GARCH Model
27%
Volatility Spillover
27%
BabA
27%
Tail Index
22%
Quasi-maximum Likelihood Estimation
20%
Likelihood Ratio
18%
Least Squares Estimator
18%
Statistical Methods
18%
Convergence Rate
18%
T-statistic
18%
Consistent Estimator
18%
Simulation Study
18%
Finite Sample Properties
18%
Financial Returns
18%
Estimation Method
18%
Constant Conditional Correlation
18%
Univariate GARCH
18%
Asymptotic Normality
18%
Fourth Moment
18%
Large Sample Properties
18%
Tail Shape
18%
Derived Properties
18%
Limit Theory
18%
Multivariate GARCH Models
18%
Moment Conditions
18%
Consistency Rate
18%
Nuisance Parameters on the Boundary
17%
Wald Statistic
15%
Mathematics
GARCH Model
100%
Variance
67%
Conditionals
67%
Asymptotic Normality
54%
Limiting Distribution
40%
Parameter Space
37%
Asymptotics
31%
Nuisance Parameter
28%
Autoregressive Conditional Heteroskedasticity
27%
Regular Variation
27%
Degree of Freedom
27%
Type Model
27%
Moment Condition
27%
Asymptotic Theory
23%
Wald
22%
Ergodicity
18%
Likelihood Ratio Statistic
18%
Bootstrap Sample
18%
Monte Carlo
18%
