Pages that link to "Item:Q1126491"

The following pages link to Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491):

Displaying 50 items.

• STATIONARY INTEGRATED ARCH(∞) AND AR(∞) PROCESSES WITH FINITE VARIANCE (Q4554600) (← links)
• Dynamic factor long memory volatility (Q4555133) (← links)
• Technical trading and the volatility of exchange rates (Q4610247) (← links)
• Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data (Q4619501) (← links)
• ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL (Q4629570) (← links)
• GARCH model selection criteria (Q4647269) (← links)
• Market heterogeneities and the causal structure of volatility (Q4647275) (← links)
• Volatility processes and volatility forecast with long memory (Q4647598) (← links)
• Analysis of the correlation structure of square time series (Q4677028) (← links)
• LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS (Q4817431) (← links)
• On the foundations of multivariate heavy-tail analysis (Q4822461) (← links)
• On diagnostics in conditionally heteroskedastic time series models under elliptical distributions (Q4822476) (← links)
• On the Autocorrelation Properties of Long‐Memory GARCH Processes (Q4828181) (← links)
• Scaling and Multiscaling in Financial Series: A Simple Model (Q4906506) (← links)
• Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances (Q4906509) (← links)
• EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS (Q4959130) (← links)
• Ian McLeod’s Contribution to Time Series Analysis—A Tribute (Q4976474) (← links)
• To infinity and beyond: Efficient computation of ARCH(<i>∞</i>) models (Q4997702) (← links)
• Stochastic Volatility Models Predictive Relevance for Equity Markets (Q5048338) (← links)
• Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model (Q5068083) (← links)
• Markov switch smooth transition HYGARCH model: Stability and estimation (Q5077192) (← links)
• Detecting long-range dependence with truncated ratios of periodogram ordinates (Q5078575) (← links)
• Volatility Spillover Effect: A Semiparametric Analysis of Non-Cointegrated Process (Q5080530) (← links)
• Nonlinear high-frequency stock market time series: Modeling and combine forecast evaluations (Q5082682) (← links)
• (Q5101698) (← links)
• A novel auto-regressive fractionally integrated moving average–least-squares support vector machine model for electricity spot prices prediction (Q5128611) (← links)
• Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors (Q5138047) (← links)
• Fractionally integrated GARCH model with tempered stable distribution: a simulation study (Q5138749) (← links)
• Tests for Volatility Shifts in Garch Against Long‐Range Dependence (Q5177968) (← links)
• TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS (Q5199499) (← links)
• Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model (Q5212061) (← links)
• A local unit root test in mean for financial time series (Q5222373) (← links)
• Long Memory, Realized Volatility and Heterogeneous Autoregressive Models (Q5226150) (← links)
• A STATISTICAL TEST OF VOLATILITY PERSISTENCE IN GARCH MODELS AND APPLICATION TO STOCK EXCHANGE (Q5229423) (← links)
• Mean-variance cointegration and the expectations hypothesis (Q5247279) (← links)
• Alternative modeling for long term risk (Q5247944) (← links)
• Relative forecasting performance of volatility models: Monte Carlo evidence (Q5397468) (← links)
• ON MIXTURE MEMORY GARCH MODELS (Q5408110) (← links)
• Optimal approximations of power laws with exponentials: application to volatility models with long memory (Q5440097) (← links)
• Fractionally Integrated Long Horizon Regressions (Q5452768) (← links)
• How can we Define the Concept of Long Memory? An Econometric Survey (Q5466754) (← links)
• Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study (Q5481748) (← links)
• Space‐time modelling of trends in temperature series (Q5495684) (← links)
• Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models (Q5697593) (← links)
• MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS (Q5704727) (← links)
• Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors (Q5757824) (← links)
• Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation (Q5860951) (← links)
• Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data (Q5861006) (← links)
• Age-coherent extensions of the Lee–Carter model (Q5861818) (← links)
• Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators (Q5864355) (← links)