The following pages link to Quadratic ARCH Models (Q4883973):
Displaying 36 items.
- Outliers and misleading leverage effect in asymmetric GARCH-type models (Q2699591) (← links)
- An ARCH in the nonlinear mean (ARCH-NM) model (Q2736956) (← links)
- Estimation of multiple period expected shortfall and median shortfall for risk management (Q2869963) (← links)
- Local instrumental variable method for the generalized additive-interactive nonlinear volatility model estimation (Q2890707) (← links)
- ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS (Q2936833) (← links)
- Forecasting volatility with support vector machine-based GARCH model (Q3065523) (← links)
- Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models (Q3161675) (← links)
- Dynamic portfolio management under competing representations (Q3374171) (← links)
- ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES (Q3408523) (← links)
- ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES (Q3450350) (← links)
- Limit Theory for the QMLE of the GQARCH (1,1) Model (Q3458099) (← links)
- A Model Specification Test For GARCH(1,1) Processes (Q3460672) (← links)
- An EM-Based Viterbi Approximation Algorithm for Mixed-State Latent Factor Models (Q3532764) (← links)
- Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-<i>t</i> innovations (Q3566441) (← links)
- A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares (Q3603204) (← links)
- Stationarity of a family of GARCH processes (Q3653360) (← links)
- On testing for multivariate ARCH effects in vector time series models (Q4470644) (← links)
- Quadratic Hawkes processes for financial prices (Q4555068) (← links)
- Tail-risk protection trading strategies (Q4555105) (← links)
- An introduction to hypergeometric functions for economists (Q4701045) (← links)
- Approximation methods for multiple period Value at Risk and Expected Shortfall prediction (Q5001182) (← links)
- A new volatility model: GQARCH‐ItÔ model (Q5095287) (← links)
- Backtesting portfolio value‐at‐risk with estimated portfolio weights (Q5135314) (← links)
- Detecting volatility persistence in GARCH models in the presence of the leverage effect (Q5247941) (← links)
- QMLE for Quadratic ARCH Model with Long Memory (Q5283410) (← links)
- A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models (Q5861525) (← links)
- Contemporaneous asymmetry in GARCH processes (Q5932779) (← links)
- A test for volatility spillover with application to exchange rates (Q5939173) (← links)
- Tests of Unit Root Hypothesis With Heavy-Tailed Heteroscedastic Noises (Q6039868) (← links)
- Volatility is (mostly) path-dependent (Q6053108) (← links)
- TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES (Q6088679) (← links)
- Nonparametric tests for market timing ability using daily mutual fund returns (Q6109940) (← links)
- Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference (Q6185132) (← links)
- Robust inference in AR-G/GARCH models under model uncertainty (Q6546439) (← links)
- Flexible conditional density estimation for time series (Q6593995) (← links)
- Statistical inference for GQARCH-Itô-jumps model based on the realized range volatility (Q6641048) (← links)
