Wu, B., Yao, Q. and Zhu, S. (2013) Estimation in the Presence of Many Nuisance Parameters: Composite Likelihood and Plug-In Likelihood. Stochastic Processes and Their Applications, 123, 2877-2896.
http://dx.doi.org/10.1016/j.spa.2013.03.017

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.