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Storti, G. and Vitale, C. (2003) BL-GARCH Models and Asymmetries in Volatility. Statistical Methods and Applications, 12, 19-40.
http://dx.doi.org/10.1007/BF02511581

has been cited by the following article:

• TITLE: Composite Likelihood for Bilinear GARCH Model

  AUTHORS: Abdelhalim Bouchemella, Fatima Zahra Benmostefa

  KEYWORDS: Random Coefficient Autoregressive Model, BL-GARCH Models, Composite Likelihood

  JOURNAL NAME: Applied Mathematics, Vol.5 No.15, August 14, 2014

  ABSTRACT: In this study, we focus on the class of BL-GARCH models, which is initially introduced by Storti & Vitale [1] in order to handle leverage effects and volatility clustering. First we illustrate some properties of BL-GARCH (1, 2) model, like the positivity, stationarity and marginal distribution; then we study the statistical inference, apply the composite likelihood on panel of BL-GARCH (1, 2) model, and study the asymptotic behavior of the estimators, like the consistency property and the asymptotic normality.