Pages that link to "Item:Q3756387"

The following pages link to Modelling the persistence of conditional variances (Q3756387):

Displaying 50 items.

• Dynamic portfolio management under competing representations (Q3374171) (← links)
• ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS (Q3375346) (← links)
• Testing for efficiency and non-linearity in market and natural time series (Q3426394) (← links)
• Semiparametric diffusion estimation and application to a stock market index (Q3518390) (← links)
• Volatility conditional on price trends (Q3564812) (← links)
• Nonlinearity tests in time series analysis (Q3598310) (← links)
• An Alternative Methodology for Combining Different Forecasting Models (Q3604103) (← links)
• An empirical re-examination of the dividend–investment relation (Q3605225) (← 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)
• Time reversal invariance in finance (Q3645195) (← links)
• A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS (Q4025279) (← links)
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (Q4031295) (← links)
• Covariance structure selection in general mixed models (Q4275711) (← links)
• Modelling and testing for market volatility (Q4304473) (← links)
• Hysteresis and cyclical variability in real wages, output and unemployment: empirical evidence from nonlinear methods for the United States (Q4304478) (← links)
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY (Q4319856) (← links)
• Weak convergence and distributional assumptions for a general class of nonliner arch models (Q4355166) (← links)
• Nonlinear continuous-discrete filtering using kernel density estimatesand functional integrals (Q4409372) (← links)
• Statistical Adequacy and the Testing of Trend Versus Difference Stationarity (Q4414344) (← links)
• The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests (Q4493695) (← links)
• Cross-border exchanges and volatility forecasting (Q4554462) (← links)
• RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS (Q4554606) (← links)
• DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS (Q4562549) (← links)
• Testing for persistence in stock returns with GARCH-stable shocks (Q4610232) (← links)
• Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data (Q4619501) (← links)
• Estimating a covariance matrix for market risk management and the case of credit default swaps (Q4628036) (← links)
• GARCH model selection criteria (Q4647269) (← links)
• Volatility processes and volatility forecast with long memory (Q4647598) (← links)
• Information theory and economic growth models (Q4693304) (← links)
• Entropy and information in portfolio choice (Q4763837) (← links)
• Adjustment costs in mean-variance efficiency analysis (Q4883834) (← links)
• On regression-based tests for persistence in logarithmic volatility models (Q4935455) (← links)
• Evaluation of volatility predictions in a VaR framework (Q5001165) (← links)
• Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications (Q5082783) (← links)
• Forecasting with GARCH models under structural breaks: An approach based on combinations across estimation windows (Q5083880) (← links)
• (Q5101698) (← links)
• The Limiting Distribution of a Non‐Stationary Integer Valued GARCH(1,1) Process (Q5111849) (← links)
• The Kullback–Leibler autodependogram (Q5138190) (← links)
• Tests for Volatility Shifts in Garch Against Long‐Range Dependence (Q5177968) (← links)
• Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model (Q5212061) (← links)
• Stochastic regularization for the mean-variance allocation scheme (Q5234343) (← links)
• A Copula Approach to Backward-Looking Factors in Market Based Inflation Expectations (Q5240331) (← links)
• Processes for stocks capturing their statistical properties from one day to one year (Q5245352) (← links)
• Mean-variance cointegration and the expectations hypothesis (Q5247279) (← links)
• The dynamics of the relationship between spot and futures markets under high and low variance regimes (Q5391281) (← links)
• INTEGRATED MARKOV-SWITCHING GARCH PROCESS (Q5411517) (← links)
• Forecasting volatility in GARCH models with additive outliers (Q5440098) (← links)
• A Note on Unit Root Tests and GARCH Errors: A Simulation Experiment (Q5451141) (← links)
• Econometric tests of rationality and market efficiency (Q5750316) (← links)