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.

• QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations (Q4568274) (← links)
• Pseudo maximum-likelihood estimation of the univariate GARCH (1,1) and asymptotic properties (Q4598614) (← links)
• Pseudo maximum likelihood estimation of the univariate GARCH (2,2) and asymptotic normality under dependent innovations (Q4605236) (← links)
• QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES (Q4629565) (← links)
• DYNAMIC ASSET CORRELATIONS BASED ON VINES (Q4629569) (← links)
• Quantile Regression Estimator for GARCH Models (Q4911963) (← links)
• Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model (Q4914961) (← links)
• Self-Excited Threshold Poisson Autoregression (Q4975415) (← links)
• Diagnostic Checking for Weibull Autoregressive Conditional Duration Models (Q4976478) (← links)
• Adaptive lasso for linear regression models with ARMA-GARCH errors (Q4976540) (← links)
• Necessary and sufficient conditions for the identifiability of observation‐driven models (Q4997691) (← links)
• Empirical likelihood test for the application of swqmele in fitting an arma‐garch model (Q4997696) (← links)
• Asymptotic theory for QMLE for the real‐time GARCH(1,1) model (Q5012866) (← links)
• Generalized autoregressive moving average models with GARCH errors (Q5030955) (← links)
• Test for parameter change in the presence of outliers: the density power divergence-based approach (Q5065268) (← links)
• Test of parameter changes in a class of observation-driven models for count time series (Q5077400) (← links)
• Oracally efficient estimation and testing for an ARCH model with trend (Q5078550) (← links)
• TEST FOR ZERO MEDIAN OF ERRORS IN AN ARMA–GARCH MODEL (Q5081790) (← links)
• Quasi-maximum likelihood estimation of GARCH with student distributed noise (Q5082606) (← links)
• Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations (Q5083339) (← links)
• Geometric ergodicity of the multivariate COGARCH(1,1) process (Q5086715) (← links)
• GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series (Q5092644) (← links)
• Asymmetric linear double autoregression (Q5095288) (← links)
• A new GJR‐GARCH model for ℤ‐valued time series (Q5095294) (← links)
• QUANTILE DOUBLE AUTOREGRESSION (Q5104481) (← links)
• Empirical characteristic function tests for GARCH innovation distribution using multipliers (Q5106912) (← links)
• Sequential change point detection in ARMA-GARCH models (Q5107788) (← links)
• Bootstrap Inference for Garch Models by the Least Absolute Deviation Estimation (Q5111776) (← links)
• A Stationary Spatio‐Temporal GARCH Model (Q5111841) (← links)
• Adaptive Lasso for vector Multiplicative Error Models (Q5121495) (← links)
• Semiparametric Time Series Models with Log‐concave Innovations: Maximum Likelihood Estimation and its Consistency (Q5177947) (← links)
• Tests for Volatility Shifts in Garch Against Long‐Range Dependence (Q5177968) (← links)
• A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models (Q5220713) (← links)
• On count time series prediction (Q5220723) (← links)
• STATISTICAL INFERENCE FOR MEASUREMENT EQUATION SELECTION IN THE LOG-REALGARCH MODEL (Q5243485) (← links)
• ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS (Q5247357) (← links)
• RESIDUAL-BASED GARCH BOOTSTRAP AND SECOND ORDER ASYMPTOTIC REFINEMENT (Q5349016) (← links)
• Change point detection in copula ARMA–GARCH Models (Q5397933) (← links)
• Least squares estimation of ARCH models with missing observations (Q5397963) (← links)
• ESTIMATION-ADJUSTED VAR (Q5403109) (← links)
• DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS (Q5741626) (← links)
• A MAX-CORRELATION WHITE NOISE TEST FOR WEAKLY DEPENDENT TIME SERIES (Q5859558) (← links)
• A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities (Q5861023) (← links)
• Sample path properties of an explosive double autoregressive model (Q5862481) (← links)
• Robust parametric tests of constant conditional correlation in a MGARCH model (Q5862487) (← links)
• <i>QMLE</i> of periodic time-varying bilinear– <i>GARCH</i> models (Q5866068) (← links)
• Conditional maximum likelihood estimation in negative binomial INGARCH processes with known number of successes when the true parameter is at the boundary of the parameter space (Q5866080) (← links)
• Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall (Q5881985) (← links)
• Root-\(T\) consistent density estimation in GARCH models (Q5964750) (← links)
• Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms (Q6067649) (← links)