Pages that link to "Item:Q1763105"
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The following pages link to Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (Q1763105):
Displaying 50 items.
- GARCH option pricing models with Meixner innovations (Q1710580) (← links)
- Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization (Q1722750) (← links)
- Detecting structural breaks in realized volatility (Q1727922) (← links)
- Maximum entropy test for GARCH models (Q1731233) (← links)
- Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH (Q1734571) (← links)
- Modeling maxima with autoregressive conditional Fréchet model (Q1739592) (← links)
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models (Q1746551) (← links)
- On change point test for ARMA-GARCH models: bootstrap approach (Q1747092) (← links)
- Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases (Q1757893) (← links)
- Whittle estimation in a heavy-tailed GARCH(1,1) model. (Q1766031) (← links)
- Robust maximum entropy test for GARCH models based on a minimum density power divergence estimator (Q1787240) (← links)
- Linear double autoregression (Q1792485) (← links)
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors (Q1807062) (← links)
- Nonlinear Poisson autoregression (Q1925990) (← links)
- Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations (Q1927104) (← links)
- Specification tests for the error distribution in GARCH models (Q1927139) (← links)
- On the estimation and diagnostic checking of the ARFIMA-HYGARCH model (Q1927143) (← links)
- Some recent theory for autoregressive count time series (Q1936528) (← links)
- Multiple breaks detection in general causal time series using penalized quasi-likelihood (Q1950823) (← links)
- A scalar dynamic conditional correlation model: structure and estimation (Q1989915) (← links)
- General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator (Q2044417) (← links)
- Sequential change point test in the presence of outliers: the density power divergence based approach (Q2044423) (← links)
- Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients (Q2059106) (← links)
- Forecasting price of financial market crash via a new nonlinear potential GARCH model (Q2068471) (← links)
- Consistency of global LSE for MA(1) models (Q2070587) (← links)
- Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models (Q2073226) (← links)
- Estimation of multivariate asymmetric power GARCH models (Q2079614) (← links)
- Testing the existence of moments for GARCH processes (Q2116322) (← links)
- Simultaneous inference for time-varying models (Q2116345) (← links)
- A score statistic for testing the presence of a stochastic trend in conditional variances (Q2127331) (← links)
- Recent progress in parameter change test for integer-valued time series models (Q2132020) (← links)
- Minimum density power divergence estimator for negative binomial integer-valued GARCH models (Q2141738) (← links)
- Contrast estimation of time-varying infinite memory processes (Q2169064) (← links)
- Consistent model selection criteria and goodness-of-fit test for common time series models (Q2180087) (← links)
- Estimation and asymptotic properties of a stationary univariate GARCH(\(p,q\)) process (Q2192332) (← links)
- Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models (Q2220796) (← links)
- Bootstrap based probability forecasting in multiplicative error models (Q2224997) (← links)
- Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model (Q2236868) (← links)
- Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors (Q2256754) (← links)
- Estimation and strict stationarity testing of ARCH processes based on weighted least squares (Q2261914) (← links)
- Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity (Q2280590) (← links)
- Volatility filtering in estimation of kurtosis (and variance) (Q2283658) (← links)
- Chasing volatility. A persistent multiplicative error model with jumps (Q2294516) (← links)
- Mean targeting estimator for the integer-valued GARCH(1, 1) model (Q2306886) (← links)
- On score vector- and residual-based CUSUM tests in ARMA-GARCH models (Q2324264) (← links)
- CUSUM test for general nonlinear integer-valued GARCH models: comparison study (Q2330525) (← links)
- Modified residual CUSUM test for location-scale time series models with heteroscedasticity (Q2330526) (← links)
- Joint extremal behavior of hidden and observable time series with applications to GARCH processes (Q2340041) (← links)
- Model-based pricing for financial derivatives (Q2347719) (← links)
- M-estimation for periodic GARCH model with high-frequency data (Q2401782) (← links)
