Pages that link to "Item:Q4807280"
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The following pages link to MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS (Q4807280):
Displaying 50 items.
- Bahadur representation of linear kernel quantile estimator of VaR under \(\alpha \)-mixing assumptions (Q963848) (← links)
- Stationarity and geometric ergodicity of a class of nonlinear ARCH models (Q997428) (← links)
- Augmented GARCH sequences: Dependence structure and asymptotics (Q1002569) (← links)
- Learning near-optimal policies with Bellman-residual minimization based fitted policy iteration and a single sample path (Q1009248) (← links)
- Minimum distance estimation of GARCH(1,1) models (Q1010531) (← links)
- On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation (Q1011549) (← links)
- A note on application of integral operator in learning theory (Q1012558) (← links)
- Monitoring shifts in mean: asymptotic normality of stopping times (Q1019482) (← links)
- A GMM procedure for combining volatility forecasts (Q1023635) (← links)
- Asymptotic properties of the Bernstein density copula estimator for \(\alpha \)-mixing data (Q1041059) (← links)
- Break detection in the covariance structure of multivariate time series models (Q1043722) (← links)
- Deciding between GARCH and stochastic volatility via strong decision rules (Q1044073) (← links)
- Modeling tails of aggregate economic processes in a stochastic growth model (Q1623510) (← links)
- A fluctuation test for constant Spearman's rho with nuisance-free limit distribution (Q1623567) (← links)
- An extreme value analysis of the last century crises across industries in the U.S. economy (Q1655601) (← links)
- Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation (Q1660129) (← links)
- Confidence regions for entries of a large precision matrix (Q1668572) (← links)
- Dating multiple change points in the correlation matrix (Q1694371) (← links)
- Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth (Q1739388) (← links)
- Local M-estimation with discontinuous criterion for dependent and limited observations (Q1747741) (← links)
- An improved method for forecasting spare parts demand using extreme value theory (Q1753565) (← links)
- Bounds for the probability distribution function of the linear ACD process (Q1770076) (← links)
- Delay time in sequential detection of change (Q1771296) (← links)
- Kernel density estimator for strong mixing processes (Q1781510) (← links)
- Cross-validated SNP density estimates (Q1858960) (← links)
- Evaluating GARCH models. (Q1858977) (← links)
- Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility (Q1927544) (← links)
- A multivariate conditional autoregressive range model (Q1927776) (← links)
- A new fluctuation test for constant variances with applications to finance (Q1928381) (← links)
- Inference procedures for stable-Paretian stochastic volatility models (Q1931045) (← links)
- Geometric ergodicity and \(\beta\)-mixing property for a multivariate CARR model (Q1934845) (← links)
- Testing linear causality in mean when the number of estimated parameters is high (Q1952197) (← links)
- Dynamic semiparametric models for expected shortfall (and value-at-risk) (Q2000869) (← links)
- A new family of copula-based concordance orderings of random pairs: properties and nonparametric tests (Q2044382) (← links)
- Optimal change-point estimation in time series (Q2054501) (← links)
- Conditional rotation between forecasting models (Q2106365) (← links)
- Quantifying the data-dredging bias in structural break tests (Q2122806) (← links)
- A coupled component DCS-EGARCH model for intraday and overnight volatility (Q2190218) (← links)
- Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model (Q2236868) (← links)
- Estimating critical values for testing the i.i.d. in standardized residuals from GARCH models in finite samples (Q2255852) (← links)
- On the estimation of density-weighted average derivative by wavelet methods under various dependence structures (Q2257019) (← links)
- A general result on the mean integrated squared error of the hard thresholding wavelet estimator under \(\alpha\)-mixing dependence (Q2260580) (← links)
- Extreme value distribution of a recursive-type detector in linear model (Q2271708) (← links)
- Statistical inference for autoregressive models under heteroscedasticity of unknown form (Q2284370) (← links)
- Nonparametric filtering of conditional state-price densities (Q2294444) (← links)
- Test for tail index constancy of GARCH innovations based on conditional volatility (Q2317888) (← links)
- Predictive quantile regressions under persistence and conditional heteroskedasticity (Q2330756) (← links)
- On the large-sample behavior of two estimators of the conditional copula under serially dependent data (Q2338093) (← links)
- Joint extremal behavior of hidden and observable time series with applications to GARCH processes (Q2340041) (← links)
- Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis (Q2348726) (← links)
