Pages that link to "Item:Q1395935"
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The following pages link to GARCH processes: structure and estimation (Q1395935):
Displaying 50 items.
- Fractionally integrated time varying GARCH model (Q257572) (← links)
- A goodness-of-fit test for ARCH(\(\infty\)) models (Q289186) (← links)
- A class of stochastic unit-root bilinear processes: mixing properties and unit-root test (Q290958) (← links)
- Estimation and tests for power-transformed and threshold GARCH models (Q290965) (← links)
- Asymptotics for parametric GARCH-in-mean models (Q308384) (← links)
- Statistical inference for nonparametric GARCH models (Q311986) (← links)
- Inference in nonstationary asymmetric GARCH models (Q385779) (← links)
- Simultaneous bootstrap for all three parameters in random coefficient autoregressive models (Q397236) (← links)
- A goodness-of-fit test for GARCH innovation density (Q434239) (← links)
- On the probabilistic structure of power threshold generalized ARCH stochastic processes (Q449026) (← links)
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models (Q451281) (← links)
- Asymptotic theory for fractionally integrated asymmetric power ARCH models (Q452996) (← links)
- On dynamics of volatilities in nonstationary GARCH models (Q467000) (← links)
- Risk-parameter estimation in volatility models (Q473360) (← links)
- Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models (Q477106) (← links)
- Aggregation and marginalization of GARCH processes: some further results (Q478343) (← links)
- Estimation and testing linearity for non-linear mixed Poisson autoregressions (Q491400) (← links)
- Conditional maximum likelihood estimation for a class of observation-driven time series models for count data (Q511583) (← links)
- On approximate pseudo-maximum likelihood estimation for LARCH-processes (Q605885) (← links)
- Minimum density power divergence estimator for GARCH models (Q619106) (← links)
- An efficient descent direction method with cutting planes (Q623787) (← links)
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models (Q651027) (← links)
- Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes (Q710816) (← links)
- Inconsistency of the MLE and inference based on weighted LS for LARCH models (Q736696) (← links)
- Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE (Q738084) (← links)
- ARCH/GARCH with persistent covariate: asymptotic theory of MLE (Q738138) (← links)
- A note on Jarque-Bera normality test for ARMA-GARCH innovations (Q744734) (← links)
- Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes (Q834361) (← links)
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach (Q869981) (← links)
- Guaranteed detection of an imbalance instant of the GARCH-process (Q885777) (← links)
- Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations (Q888322) (← links)
- Asymptotic inference in multiple-threshold double autoregressive models (Q888334) (← links)
- Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions (Q927367) (← links)
- Stability of block-triangular stationary random matrices (Q932116) (← links)
- Robust estimates for GARCH models (Q935425) (← links)
- Distributional analysis of empirical volatility in GARCH processes (Q947260) (← links)
- Estimating confidence regions over bounded domains (Q957208) (← links)
- On the structure of generalized threshold ARCH processes (Q962013) (← links)
- Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models (Q990922) (← links)
- Simultaneous parameter estimation and state smoothing of complex GARCH process in the presence of additive noise (Q994210) (← links)
- Probabilistic properties of periodic GARCH prosses (Q1009536) (← links)
- Break detection in the covariance structure of multivariate time series models (Q1043722) (← links)
- The GARCH (1,1)-\(M\) model: results for the densities of the variance and the mean (Q1293814) (← links)
- Dynamic factor multivariate GARCH model (Q1623556) (← links)
- Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models (Q1631205) (← links)
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (Q1644252) (← links)
- Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown (Q1659146) (← links)
- Linking Tukey's legacy to financial risk measurement (Q1659149) (← links)
- Nonstationary GARCH with \(t\)-distributed innovations (Q1667982) (← links)
- Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions (Q1695555) (← links)
