Pages that link to "Item:Q1766073"
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The following pages link to Regular variation of GARCH processes. (Q1766073):
Displaying 35 items.
- MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS (Q5190049) (← links)
- Geometric Ergodicity and Moment Conditions for a Seasonal GARCH Model with Periodic Coefficients (Q5190582) (← links)
- The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process (Q5197406) (← links)
- TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS (Q5199499) (← links)
- General inverse problems for regular variation (Q5245627) (← links)
- How to model multivariate extremes if one must? (Q5313467) (← links)
- Lévy-Type Stochastic Integrals with Regularly Varying Tails (Q5316804) (← links)
- Extremes of autoregressive threshold processes (Q5320659) (← links)
- A Family of Markov‐Switching Garch Processes (Q5397964) (← links)
- NONPARAMETRIC INFERENCE FOR CONDITIONAL QUANTILES OF TIME SERIES (Q5403107) (← links)
- Fractional Moments of Solutions to Stochastic Recurrence Equations (Q5407021) (← links)
- A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL (Q5438206) (← links)
- Extremes of regularly varying Lévy-driven mixed moving average processes (Q5475378) (← links)
- Random Walks with Drift – A Sequential Approach (Q5487369) (← links)
- Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation (Q5742648) (← links)
- Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors (Q5860900) (← links)
- On asymptotic risk of selecting models for possibly nonstationary time-series (Q5861039) (← links)
- Time evolution of stochastic processes with correlations in the variance: stability in power-law tails of distributions (Q5947840) (← links)
- Discussion on: ``Bootstrap methods for dependent data: a review'' (Q5966192) (← links)
- Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims (Q6044209) (← links)
- Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims (Q6096161) (← links)
- Nonparametric tests for market timing ability using daily mutual fund returns (Q6109940) (← links)
- Testing conditional heteroscedasticity with systematic sampling of time series (Q6115031) (← links)
- Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference (Q6185132) (← links)
- A note on the tails of the GO-GARCH process (Q6537774) (← links)
- Robust inference in AR-G/GARCH models under model uncertainty (Q6546439) (← links)
- Regular variation in Hilbert spaces and principal component analysis for functional extremes (Q6570492) (← links)
- Testing serial correlation in a general <i>d</i> -factor model with possible infinite variance (Q6579843) (← links)
- Change-point analysis for binomial autoregressive model with application to price stability counts (Q6582030) (← links)
- Test for Market Timing Using Daily Fund Returns (Q6586898) (← links)
- Robust estimation of (partial) autocorrelation (Q6604458) (← links)
- Testing the Multivariate Regular Variation Model (Q6617812) (← links)
- Multivariate regularly varying insurance and financial risks in multidimensional risk models (Q6639533) (← links)
- Tail risk monotonicity in GARCH(1,1) models (Q6644186) (← links)
- Testing for zero skill in stock picking or market timing (Q6671917) (← links)
