Pages that link to "Item:Q1763105"

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

Displaying 50 items.

• Estimation in a class of nonlinear heteroscedastic time series models (Q2426824) (← links)
• Least absolute deviation estimation of autoregressive conditional duration model (Q2431048) (← links)
• GARCH models without positivity constraints: exponential or log GARCH? (Q2448408) (← links)
• Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models (Q2454005) (← links)
• Fitting an error distribution in some heteroscedastic time series models (Q2497190) (← links)
• Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models (Q2500446) (← links)
• A note on the Jarque-Bera normality test for GARCH innovations (Q2510920) (← links)
• On the empirical characteristic function process of the residuals in GARCH models and applications (Q2513933) (← links)
• Robust estimation and inference for heavy tailed GARCH (Q2515512) (← links)
• Robust \(M\)-estimate of GJR model with high frequency data (Q2516046) (← links)
• Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero (Q2642035) (← links)
• Conditional asymmetry in power ARCH\((\infty)\) models (Q2697981) (← links)
• A monitoring procedure for detecting structural breaks in factor copula models (Q2700563) (← links)
• Estimation of change-points in linear and nonlinear time series models (Q2801992) (← links)
• Quantile regression for location-scale time series models with conditional heteroscedasticity (Q2821474) (← links)
• Adaptive quasi-maximum likelihood estimation of GARCH models with Student’s<i>t</i>likelihood (Q2830196) (← links)
• On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models (Q2845022) (← links)
• Asymptotic properties of weighted least squares estimation in weak PARMA models (Q2851994) (← links)
• Least tail-trimmed squares for infinite variance autoregressions (Q2852489) (← links)
• A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach (Q2852494) (← links)
• On testing for independence between the innovations of several time series (Q2856550) (← links)
• Continuous invertibility and stable QML estimation of the EGARCH(1,1) model (Q2868871) (← links)
• Inference for Box-Cox transformed threshold GARCH models with nuisance parameters (Q2914954) (← links)
• Testing for parameter constancy in general causal time-series models (Q2931597) (← links)
• Parameter Change Test for Poisson Autoregressive Models (Q2932778) (← links)
• QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS (Q2933190) (← links)
• ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS (Q2936833) (← links)
• INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL (Q2937713) (← links)
• On the efficiency of a semi‐parametric GARCH model (Q3018505) (← links)
• Time series models with asymmetric Laplace innovations (Q3070611) (← links)
• Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes (Q3072403) (← links)
• Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes (Q3077640) (← links)
• Bartlett's formula for a general class of nonlinear processes (Q3077657) (← links)
• Estimation and Asymptotic Inference in the AR-ARCH Model (Q3086362) (← links)
• Structure and estimation of a class of nonstationary yet nonexplosive GARCH models (Q3103190) (← links)
• PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS (Q3108567) (← links)
• RANK-BASED ESTIMATION FOR GARCH PROCESSES (Q3168422) (← links)
• Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation (Q3168912) (← links)
• QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS (Q3224041) (← links)
• Recursive Estimation of GARCH Models (Q3424299) (← links)
• A Model Specification Test For GARCH(1,1) Processes (Q3460672) (← links)
• Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified (Q3466886) (← links)
• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL (Q3551018) (← links)
• On residual empirical processes of GARCH-SM models: application to conditional symmetry tests (Q3552849) (← links)
• ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS (Q3577700) (← links)
• ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL (Q3632428) (← links)
• FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS (Q3632429) (← links)
• QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS (Q3632433) (← links)
• (Q4217814) (← links)
• Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure (Q4562030) (← links)