Pages that link to "Item:Q1763105"

The following pages link to Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (Q1763105):

Displaying 33 items.

• LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS (Q6078286) (← links)
• A new generalized exponentially weighted moving average quantile model and its statistical inference (Q6090552) (← links)
• Bootstrap specification tests for dynamic conditional distribution models (Q6108286) (← links)
• Estimation and inference in factor copula models with exogenous covariates (Q6108312) (← links)
• Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models (Q6115537) (← links)
• Generalized Gaussian quasi-maximum likelihood estimation for most common time series (Q6118258) (← links)
• QMLE for periodic absolute value GARCH models (Q6123179) (← links)
• Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series (Q6135354) (← links)
• ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES (Q6145541) (← links)
• Exponential control of the trajectories of iterated function systems with application to semi-strong GARCH models (Q6148890) (← links)
• Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary (Q6150359) (← links)
• Standard Laplace quasi-maximum likelihood estimator for GARCH processes (Q6171872) (← links)
• A residual bootstrap for conditional value-at-risk (Q6193032) (← links)
• Autoregressive conditional betas (Q6193071) (← links)
• Test for conditional quantile change in general conditional heteroscedastic time series models (Q6197124) (← links)
• An expectile computation cookbook (Q6547781) (← links)
• A general asymptotic theory for time-series models (Q6573259) (← links)
• Parameter change test for location-scale time series models with heteroscedasticity based on bootstrap (Q6574635) (← links)
• Asymptotic inference of the ARMA model with time-functional variance noises (Q6608192) (← links)
• High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation (Q6608678) (← links)
• On Mixture Double Autoregressive Time Series Models (Q6616614) (← links)
• Risk Analysis via Generalized Pareto Distributions (Q6620908) (← links)
• Consistent Estimation of Multiple Breakpoints in Dependence Measures (Q6626238) (← links)
• Powerful Backtests for Historical Simulation Expected Shortfall Models (Q6626253) (← links)
• Testing for an Omitted Multiplicative Long-Term Component in GARCH Models (Q6626297) (← links)
• Statistical Inference for a Relative Risk Measure (Q6634862) (← links)
• Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models (Q6634893) (← links)
• Quasi-maximum likelihood estimation of long-memory linear processes (Q6635297) (← links)
• Quasi-likelihood estimation in volatility models for semi-continuous time series (Q6636843) (← links)
• A trinomial difference autoregressive process for the bounded \(\mathbb{Z}\)-valued time series (Q6655926) (← links)
• On periodic logGARCH model with empirical application model with empirical application (Q6657831) (← links)
• Empirical risk minimization for time series: nonparametric performance bounds for prediction (Q6664628) (← links)
• Inference on GARCH-MIDAS models without any small-order moment (Q6667299) (← links)