Pages that link to "Item:Q1766073"
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The following pages link to Regular variation of GARCH processes. (Q1766073):
Displaying 50 items.
- Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations (Q2571701) (← links)
- Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE (Q2691780) (← links)
- Bayesian analysis of periodic asymmetric power GARCH models (Q2697099) (← links)
- Targeting estimation of CCC-GARCH models with infinite fourth moments (Q2801995) (← links)
- Toward a Copula Theory for Multivariate Regular Variation (Q2849531) (← links)
- Least tail-trimmed squares for infinite variance autoregressions (Q2852489) (← links)
- Continuous invertibility and stable QML estimation of the EGARCH(1,1) model (Q2868871) (← links)
- Risk measures and multivariate extensions of Breiman's theorem (Q2897148) (← links)
- Auto-tail Dependence Coefficients for Stationary Solutions of Linear Stochastic Recurrence Equations and for GARCH(1,1) (Q2904885) (← links)
- Limit theory for a general class of GARCH models with just barely infinite variance (Q2930910) (← links)
- Nonparametric estimation for dependent data (Q3106417) (← links)
- Tail behavior of multivariate lévy-driven mixed moving average processes and supOU Stochastic Volatility Models (Q3111058) (← links)
- Point process convergence of stochastic volatility processes with application to sample autocorrelation (Q3147830) (← links)
- Risk in a Large Claims Insurance Market with Bipartite Graph Structure (Q3178764) (← links)
- Regular Variation of Infinite Series of Processes with Random Coefficients (Q3191887) (← links)
- QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS (Q3224041) (← links)
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS (Q3375346) (← links)
- Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions (Q3402049) (← links)
- MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS (Q3408521) (← links)
- ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES (Q3408523) (← links)
- Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes (Q3417684) (← links)
- On some nonstationary, nonlinear random processes and their stationary approximations (Q3419861) (← links)
- ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES (Q3450350) (← links)
- A NONPARAMETRIC ESTIMATOR FOR THE COVARIANCE FUNCTION OF FUNCTIONAL DATA (Q3465607) (← links)
- Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models (Q3505317) (← links)
- Stability of nonlinear AR-GARCH models (Q3552833) (← links)
- Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models (Q3590747) (← links)
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS (Q3632419) (← links)
- US stock returns: are there seasons of excesses? (Q4554515) (← links)
- On Extremal Index of max-stable stationary processes (Q4578299) (← links)
- Conditional risk measures in a bipartite market structure (Q4583596) (← links)
- Componentwise different tail solutions for bivariate stochastic recurrence equations with application to ${\rm GARCH}(1,1)$ processes (Q4614245) (← links)
- SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE (Q4653562) (← links)
- Joint exceedances of the ARCH process (Q4668009) (← links)
- Subsampling the mean of heavy‐tailed dependent observations (Q4828178) (← links)
- Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances (Q4906509) (← links)
- TIME SERIES REGRESSION ON INTEGRATED CONTINUOUS-TIME PROCESSES WITH HEAVY AND LIGHT TAILS (Q4917229) (← links)
- ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA (Q4933584) (← links)
- Random coefficient autoregressive processes and the PUCK model with fluctuating potential (Q5006887) (← links)
- NONSTATIONARY LINEAR PROCESSES WITH INFINITE VARIANCE GARCH ERRORS (Q5012628) (← links)
- The use of aggregate time series for testing conditional heteroscedasticity (Q5058308) (← links)
- Extrema of multi-dimensional Gaussian processes over random intervals (Q5067212) (← links)
- TAIL DEPENDENCE OF OLS (Q5071685) (← links)
- On the estimation of extreme directional multivariate quantiles (Q5078040) (← links)
- TEST FOR ZERO MEDIAN OF ERRORS IN AN ARMA–GARCH MODEL (Q5081790) (← links)
- Ratio detections for change point in heavy tailed observations (Q5082994) (← links)
- Geometric ergodicity of the multivariate COGARCH(1,1) process (Q5086715) (← links)
- Heavy-tailed distributions, correlations, kurtosis and Taylor’s Law of fluctuation scaling (Q5161220) (← links)
- Markov tail chains (Q5176525) (← links)
- Tests for Volatility Shifts in Garch Against Long‐Range Dependence (Q5177968) (← links)
