Pages that link to "Item:Q1126491"
From MaRDI portal
The following pages link to Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491):
Displaying 50 items.
- The fine structure of volatility feedback. II: Overnight and intra-day effects (Q1782696) (← links)
- Stationarity and functional central limit theorem for ARCH(\(\infty\)) models (Q1787244) (← links)
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors (Q1807062) (← links)
- Indirect estimation of ARFIMA and VARFIMA models (Q1808561) (← links)
- Generalized autoregressive conditional heteroscedasticity (Q1821471) (← links)
- Financial econometrics: Past developments and future challenges (Q1841086) (← links)
- Notes on financial econometrics (Q1841088) (← links)
- Asymptotic nonequivalence of GARCH models and diffusions (Q1848957) (← links)
- Rescaled variance and related tests for long memory in volatility and levels (Q1868970) (← links)
- Strong approximation of the empirical process of GARCH sequences (Q1872456) (← links)
- A model for long memory conditional heteroscedasticity. (Q1872488) (← links)
- Statistical inference for time-inhomogeneous volatility models. (Q1879945) (← links)
- The efficiency of the estimators of the parameters in GARCH processes. (Q1879947) (← links)
- Asymptotic filtering theory for multivariate ARCH models (Q1915438) (← links)
- Fractional differencing and long memory processes (Q1922356) (← links)
- Long memory processes and fractional integration in econometrics (Q1922357) (← links)
- Long memory continuous time models (Q1922361) (← 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)
- The impulse response function of the long memory GARCH process (Q1928718) (← links)
- Asymptotic behavior of weakly dependent aggregated processes (Q1945281) (← links)
- The ARMA alphabet soup: a tour of ARMA model variants (Q1950327) (← links)
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series (Q2008095) (← links)
- Consistent inference for predictive regressions in persistent economic systems (Q2043266) (← links)
- M-estimate for the stationary hyperbolic GARCH models (Q2070660) (← links)
- The long memory HEAVY process: modeling and forecasting financial volatility (Q2070693) (← links)
- Mixing properties of non-stationary INGARCH(1, 1) processes (Q2073232) (← links)
- Estimation methods for stationary Gegenbauer processes (Q2110339) (← links)
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
- Persistence in complex systems (Q2127430) (← links)
- A dynamic Markov regime-switching asymmetric GARCH model and its cumulative impulse response function (Q2138226) (← links)
- Adaptive realized hyperbolic GARCH process: stability and estimation (Q2138236) (← links)
- Nonstationary generalised autoregressive conditional heteroskedasticity modelling for fitting higher order moments of financial series within moving time windows (Q2149183) (← links)
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio (Q2163718) (← links)
- Analysis of shares frequency components on daily value-at-risk in emerging and developed markets (Q2163912) (← links)
- Effect of time delay on flocking dynamics (Q2167939) (← links)
- Issues in the estimation of mis-specified models of fractionally integrated processes (Q2182145) (← links)
- Model selection based on value-at-risk backtesting approach for GARCH-type models (Q2190298) (← links)
- Volatility flocking by Cucker-Smale mechanism in financial markets (Q2216409) (← links)
- Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation (Q2219432) (← links)
- Multifractal detrended fluctuation analysis: practical applications to financial time series (Q2228812) (← links)
- Numerical analysis of the fractional-order nonlinear system of Volterra integro-differential equations (Q2240743) (← links)
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach (Q2270553) (← links)
- Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models (Q2340394) (← links)
- A data-dependent approach to modeling volatility in financial time series (Q2347550) (← links)
- High moment partial sum processes of residuals in GARCH models and their applications (Q2368858) (← links)
- Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization (Q2398848) (← links)
- Normalized least-squares estimation in time-varying ARCH models (Q2426622) (← links)
- Forecasting volatility under fractality, regime-switching, long memory and Student-\(t\) innovations (Q2445719) (← links)
