Pages that link to "Item:Q1821471"
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The following pages link to Generalized autoregressive conditional heteroscedasticity (Q1821471):
Displaying 50 items.
- Analytical quasi maximum likelihood inference in multivariate volatility models (Q61439) (← links)
- A joint quantile and expected shortfall regression framework (Q62993) (← links)
- Modelling volatility by variance decomposition (Q71677) (← links)
- Pair-copula constructions of multiple dependence (Q80563) (← links)
- Testing the simplifying assumption in high-dimensional vine copulas (Q90995) (← links)
- Zero variance Markov chain Monte Carlo for Bayesian estimators (Q91280) (← links)
- Inference for the autocovariance of a functional time series under conditional heteroscedasticity (Q91428) (← links)
- Autoregressive models for matrix-valued time series (Q109413) (← links)
- Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data (Q134805) (← links)
- Volatility analysis with realized GARCH-Itô models (Q134810) (← links)
- Interval estimation for the Sharpe ratio when returns are not i.i.d. with special emphasis on the GARCH(1,1) process with symmetric innovations (Q257461) (← links)
- Fractionally integrated time varying GARCH model (Q257572) (← links)
- Testing normality: a GMM approach (Q261889) (← links)
- Nonparametric estimation of structural change points in volatility models for time series (Q262749) (← links)
- Neglecting parameter changes in GARCH models (Q265108) (← links)
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models (Q269236) (← links)
- A semiparametric GARCH model for foreign exchange volatility (Q274897) (← links)
- Semiparametric efficient adaptive estimation of asymmetric GARCH models (Q274928) (← links)
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations (Q276934) (← links)
- Aggregation and memory of models of changing volatility (Q278251) (← links)
- Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity (Q278492) (← links)
- Nonstationary nonlinear heteroskedasticity in regression (Q278499) (← links)
- A versatile and robust metric entropy test of time-reversibility, and other hypotheses (Q280218) (← links)
- An econometric analysis of asymmetric volatility: theory and application to patents (Q280248) (← links)
- On Fréchet autoregressive conditional duration models (Q282897) (← links)
- Adaptive predictions of the Euro/Złoty currency exchange rate using state space wavelet networks and forecast combinations (Q285411) (← links)
- Semi-parametric estimation and forecasting for exogenous log-GARCH models (Q285838) (← links)
- Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model (Q286453) (← links)
- Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates (Q289183) (← links)
- A goodness-of-fit test for ARCH(\(\infty\)) models (Q289186) (← links)
- Adaptive estimation of autoregressive models with time-varying variances (Q290952) (← links)
- Estimation and tests for power-transformed and threshold GARCH models (Q290965) (← links)
- Testing multivariate distributions in GARCH models (Q291099) (← links)
- Joint and marginal specification tests for conditional mean and variance models (Q291103) (← links)
- A long-run pure variance common features model for the common volatilities of the Dow Jones (Q291621) (← links)
- The common and specific components of dynamic volatility (Q291638) (← links)
- Monitoring disruptions in financial markets (Q291846) (← links)
- Predicting volatility: getting the most out of return data sampled at different frequencies (Q292004) (← links)
- Consistent ranking of volatility models (Q292007) (← links)
- Regime switching for dynamic correlations (Q292034) (← links)
- A time series model for an exchange rate in a target zone with applications (Q292041) (← links)
- Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach (Q293596) (← links)
- Bootstrap refinements for QML estimators of the GARCH(1,1) parameters (Q295411) (← links)
- Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root (Q295710) (← links)
- Time series properties of ARCH processes with persistent covariates (Q299219) (← links)
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
- Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks (Q299272) (← links)
- A neural network demand system with heteroskedastic errors (Q299485) (← links)
- An alternative approach to estimating demand: neural network regression with conditional volatility for high frequency air passenger arrivals (Q299488) (← links)
- Spatial dependencies of wind power and interrelations with spot price dynamics (Q299819) (← links)
