Pages that link to "Item:Q1126491"
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The following pages link to Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491):
Displaying 50 items.
- A new hyperbolic GARCH model (Q888335) (← links)
- Uniform change point tests in high dimension (Q892243) (← links)
- Equilibrium stock return dynamics under alternative rules of learning about hidden states (Q953695) (← links)
- On regularly varying and history-dependent convergence rates of solutions of a Volterra equation with infinite memory (Q963108) (← links)
- Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
- Stationarity and geometric ergodicity of a class of nonlinear ARCH models (Q997428) (← links)
- Persistent-threshold-GARCH processes: model and application (Q1012221) (← links)
- Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching (Q1017067) (← links)
- Correlated continuous time random walks (Q1017816) (← links)
- Multiscale local change point detection with applications to value-at-risk (Q1018645) (← links)
- Estimation of fractional integration in the presence of data noise (Q1019941) (← links)
- Generalised long-memory GARCH models for intra-daily volatility (Q1020691) (← links)
- Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH (Q1023615) (← links)
- Power-law behaviour, heterogeneity, and trend chasing (Q1027425) (← links)
- Covariance stationary GARCH-family models with long memory property (Q1031773) (← links)
- Break detection in the covariance structure of multivariate time series models (Q1043722) (← links)
- Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations (Q1044011) (← links)
- A new estimator of the fractionally integrated stochastic volatility model (Q1292339) (← links)
- Extremes of stochastic volatility models (Q1296598) (← links)
- Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models (Q1299545) (← links)
- Nonlinear time series with long memory: A model for stochastic volatility (Q1299552) (← links)
- Long-term equity anticipation securities and stock market volatility dynamics (Q1302760) (← links)
- Adaptive estimation in time-series models (Q1359426) (← links)
- The detection and estimation of long memory in stochastic volatility (Q1377319) (← links)
- A simple long-memory equilibrium interest rate model (Q1391624) (← links)
- Gaussian inference on certain long-range dependent volatility models (Q1398961) (← links)
- Asymptotic results for long memory LARCH sequences (Q1413685) (← links)
- On adaptive estimation in nonstationary ARMA models with GARCH errors (Q1429320) (← links)
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data (Q1584769) (← links)
- Modeling long memory in stock market volatility (Q1588307) (← links)
- Forecasting exchange rate volatility. (Q1603860) (← links)
- Multiscale behaviour of volatility autocorrelations in a financial market (Q1606375) (← links)
- Semi-parametric smoothing estimators for long-memory processes with added noise (Q1611815) (← links)
- Seasonal FIEGARCH processes (Q1615155) (← links)
- On the dynamic dependence and asymmetric co-movement between the US and central and eastern European transition markets (Q1619694) (← links)
- Revisiting the multifractality in stock returns and its modeling implications (Q1620210) (← links)
- Bayesian estimation of smoothly mixing time-varying parameter GARCH models (Q1623521) (← links)
- Fractionally differenced Gegenbauer processes with long memory: a review (Q1630399) (← links)
- A dynamic Markov regime-switching GARCH model and its cumulative impulse response function (Q1642424) (← links)
- Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment (Q1657604) (← links)
- Managing risk with a realized copula parameter (Q1659106) (← links)
- Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach (Q1659128) (← links)
- Disturbances and complexity in volatility time series (Q1694527) (← links)
- Long memory and asymmetry for matrix-exponential dynamic correlation processes (Q1695662) (← links)
- Forecasting volatility and the risk-return tradeoff: an application on the Fama-French benchmark market return (Q1695664) (← links)
- A test of the long memory hypothesis based on self-similarity (Q1695666) (← links)
- Analytic Hessian matrices and the computation of FIGARCH estimates (Q1766976) (← links)
- Forecasting Markov-switching dynamic, conditionally heteroscedastic processes (Q1770072) (← links)
- Near-integrated GARCH sequences (Q1774201) (← links)
- Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes (Q1782687) (← links)
