Pages that link to "Item:Q3756387"

The following pages link to Modelling the persistence of conditional variances (Q3756387):

Displaying 50 items.

• Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model (Q1726177) (← links)
• Diagnostic check for heavy tail in linear time series (Q1731253) (← links)
• When panic makes you blind: a chaotic route to systemic risk (Q1734544) (← links)
• Liquidity tail risk and credit default swap spreads (Q1749525) (← links)
• Analytic Hessian matrices and the computation of FIGARCH estimates (Q1766976) (← links)
• Stability and the Lyapounov exponent of threshold AR-ARCH models (Q1769418) (← links)
• Near-integrated GARCH sequences (Q1774201) (← links)
• Testing for ARCH in the presence of a possibly misspecified conditional mean (Q1808547) (← links)
• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes (Q1822829) (← links)
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process. (Q1848834) (← links)
• Asymptotic nonequivalence of GARCH models and diffusions (Q1848957) (← links)
• An algorithm for nonparametric GARCH modelling. (Q1852883) (← links)
• Stationarity of stable power-GARCH processes. (Q1858909) (← links)
• Statistical inference for time-inhomogeneous volatility models. (Q1879945) (← links)
• Stable GARCH models for financial time series (Q1904510) (← links)
• Modeling and pricing long memory in stock market volatility (Q1922362) (← links)
• Modeling volatility persistence of speculative returns: a new approach (Q1922363) (← links)
• On the estimation and diagnostic checking of the ARFIMA-HYGARCH model (Q1927143) (← links)
• Higher-order asymptotic properties of QML in \(\beta \)-ARCH and \(\mu \)-ARCH models (Q1929469) (← links)
• The ARMA alphabet soup: a tour of ARMA model variants (Q1950327) (← links)
• Robust omega ratio optimization using regular vines (Q2047199) (← links)
• A financial fraud detection indicator for investors: an \textit{IDeA} (Q2151647) (← links)
• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach (Q2270553) (← links)
• Filtering for risk assessment of interbank network (Q2272322) (← links)
• On the relation between GARCH and stable processes (Q2277742) (← links)
• Sequential monitoring for changes from stationarity to mild non-stationarity (Q2295810) (← links)
• A data-dependent approach to modeling volatility in financial time series (Q2347550) (← links)
• Prediction of index futures returns and the analysis of financial spillovers-A comparison between GARCH and the grey theorem (Q2426549) (← links)
• The uncertainties about the relationships risk-return-volatility in the Spanish stock market (Q2430228) (← links)
• Temporal aggregation of volatility models (Q2439047) (← links)
• Quasi-maximum likelihood estimation for multiple volatility shifts (Q2452776) (← links)
• Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process (Q2467375) (← links)
• Non-parametric regression methods (Q2468374) (← links)
• A conditional-SGT-VaR approach with alternative GARCH models (Q2480227) (← links)
• ARCH models as diffusion approximations (Q2640240) (← links)
• A novel time-varying FIGARCH model for improving volatility predictions (Q2669287) (← links)
• Resemblance of the power-law scaling behavior of a non-Markovian and nonlinear point processes (Q2677477) (← links)
• Flexible Fourier form for volatility breaks (Q2691729) (← links)
• Money growth variability and output: evidence with credit card-augmented Divisia monetary aggregates (Q2697112) (← links)
• The story of GARCH: a personal odyssey (Q2697967) (← links)
• A comparison of several time-series models for assessing the value at risk of shares (Q2722300) (← links)
• Characterizing heteroskedasticity (Q2866366) (← links)
• Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models (Q2994857) (← links)
• Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes (Q3018538) (← links)
• ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL (Q3021624) (← links)
• The Benefits of Bagging for Forecast Models of Realized Volatility (Q3063858) (← links)
• Assessing the value of Hermite densities for predictive distributions (Q3065553) (← links)
• On stationarity and ergodicity of the bilinear model with applications to GARCH models (Q3077644) (← links)
• Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case (Q3088327) (← links)
• On the Transmission of Memory in Garch‐in‐Mean Models (Q3192402) (← links)