Constrained Nonlinear Programming for Volatility Estimation with GARCH Models

Aslihan Altay-Salih, Mustafa Ç. Pinar, Sven Leyffer. Constrained Nonlinear Programming for Volatility Estimation with GARCH Models. SIAM Review, 45(3):485-503, 2003. [doi]

Abstract

Abstract is missing.