Pages that link to "Item:Q1126491"
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The following pages link to Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491):
Displaying 50 items.
- Support vector machine as an efficient framework for stock market volatility forecasting (Q2468372) (← links)
- Properties of a simple bilinear stochastic model: Estimation and predictability (Q2482024) (← links)
- On the existence of some ARCH\((\infty)\)processes (Q2483465) (← links)
- Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models (Q2500446) (← links)
- Statistical inference for time-varying ARCH processes (Q2500447) (← links)
- On location estimation for LARCH processes (Q2507743) (← links)
- Fractional integrated GARCH diffusion limit models (Q2510697) (← links)
- Extreme value theory for moving average processes with light-tailed innovations (Q2565927) (← links)
- Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages (Q2661315) (← links)
- A novel time-varying FIGARCH model for improving volatility predictions (Q2669287) (← links)
- Long memory and regime switching in the stochastic volatility modelling (Q2678633) (← links)
- Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility (Q2691676) (← links)
- Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications (Q2691760) (← links)
- Flexible HAR model for realized volatility (Q2697034) (← links)
- Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data (Q2700531) (← links)
- MCMC Bayesian Estimation in FIEGARCH Models (Q2828706) (← links)
- Heterogeneous expectations and long-range correlation of the volatility of asset returns (Q2866365) (← links)
- Characterizing heteroskedasticity (Q2866366) (← links)
- Stochastic volatility and option pricing with long-memory in discrete and continuous time (Q2873036) (← links)
- Statistical signatures in times of panic: markets as a self-organizing system (Q2873556) (← links)
- Splines for financial volatility (Q2920261) (← links)
- The Asymptotic Behavior of INAR (<i>p</i>) Models (Q2921853) (← links)
- Optimal alarm systems for FIAPARCH processes (Q2925445) (← links)
- Functional Generalized Autoregressive Conditional Heteroskedasticity (Q2954300) (← links)
- Linking agent-based models and stochastic models of financial markets (Q2962164) (← links)
- Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes (Q3018538) (← links)
- The Benefits of Bagging for Forecast Models of Realized Volatility (Q3063858) (← links)
- Econometric analysis of microscopic simulation models (Q3064019) (← links)
- Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes (Q3077640) (← links)
- Structure and estimation of a class of nonstationary yet nonexplosive GARCH models (Q3103190) (← links)
- CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY (Q3181946) (← links)
- More on the volatility-trading volume relationship in emerging markets: The Chinese stock market (Q3184496) (← links)
- On some nonstationary, nonlinear random processes and their stationary approximations (Q3419861) (← links)
- TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA (Q3421822) (← links)
- Copulas: A Review and Recent Developments (Q3424143) (← links)
- Variance (Non) Causality in Multivariate GARCH (Q3432677) (← links)
- Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model (Q3437399) (← links)
- MODELING NONSTATIONARY AND LEPTOKURTIC FINANCIAL TIME SERIES (Q3450343) (← links)
- Long-memory in high-frequency exchange rate volatility under temporal aggregation (Q3502187) (← links)
- Distinguishing short and long memory volatility specifications (Q3548528) (← links)
- LOCAL ESTIMATION OF DYNAMIC COPULA MODELS (Q3564992) (← links)
- Testing Fractional Order of Long Memory Processes: A Monte Carlo Study (Q3577205) (← links)
- FRACTIONAL BROWNIAN MOTION WITH STOCHASTIC VARIANCE: MODELING ABSOLUTE RETURNS IN STOCK MARKETS (Q3607473) (← links)
- Periodic Long-Memory GARCH Models (Q3615077) (← links)
- The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models (Q3625281) (← links)
- FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS (Q3632416) (← links)
- Long memory stochastic volatility : A bayesian approach (Q4550616) (← links)
- Asymptotic Behavior of the Fractional Heston Model (Q4553801) (← links)
- Sequential Monte Carlo for fractional stochastic volatility models (Q4554435) (← links)
- Cross-border exchanges and volatility forecasting (Q4554462) (← links)
