Bellini, Fabio; Bottolo, Leonardo Misspecification and domain issues in fitting \(\operatorname{GARCH}(1,1)\) models: a Monte Carlo investigation. (English) Zbl 1161.62053 Commun. Stat., Simulation Comput. 38, No. 1, 31-45 (2009). MSC: 62M10 65C05 62P05 62G30 PDFBibTeX XMLCite \textit{F. Bellini} and \textit{L. Bottolo}, Commun. Stat., Simulation Comput. 38, No. 1, 31--45 (2009; Zbl 1161.62053) Full Text: DOI
Bellini, Fabio; Bottolo, Leonardo Stationarity domains for \(\delta\)-power GARCH process with heavy tails. (English) Zbl 1128.62097 Stat. Probab. Lett. 77, No. 13, 1418-1427 (2007). MSC: 62M10 60G10 PDFBibTeX XMLCite \textit{F. Bellini} and \textit{L. Bottolo}, Stat. Probab. Lett. 77, No. 13, 1418--1427 (2007; Zbl 1128.62097) Full Text: DOI