Pages that link to "Item:Q1848834"
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The following pages link to Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process. (Q1848834):
Displaying 50 items.
- On the online estimation of local constant volatilities (Q76074) (← links)
- Tail risk inference via expectiles in heavy-tailed time series (Q135350) (← links)
- Functional weak convergence of partial maxima processes (Q262528) (← links)
- On the tail index inference for heavy-tailed GARCH-type innovations (Q263253) (← links)
- On Fréchet autoregressive conditional duration models (Q282897) (← links)
- A moment closed form estimator for the autoregressive conditional duration model (Q284183) (← links)
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series (Q284329) (← links)
- The quantilogram: with an application to evaluating directional predictability (Q288359) (← links)
- Asymptotics for parametric GARCH-in-mean models (Q308384) (← links)
- Estimating the upcrossings index (Q384754) (← links)
- Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations (Q391793) (← links)
- Efficient rare-event simulation for perpetuities (Q449227) (← links)
- Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
- Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models (Q477106) (← links)
- On the measurement and treatment of extremes in time series (Q508717) (← links)
- Jump tails, extreme dependencies, and the distribution of stock returns (Q528157) (← links)
- Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes (Q605036) (← links)
- The extremogram: a correlogram for extreme events (Q605880) (← links)
- Extremal memory of stochastic volatility with an application to tail shape inference (Q607175) (← links)
- Semi- and nonparametric ARCH processes (Q609736) (← links)
- Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models (Q626266) (← links)
- Multivariate linear recursions with Markov-dependent coefficients (Q631617) (← links)
- High-level dependence in time series models (Q650680) (← links)
- A functional limit theorem for dependent sequences with infinite variance stable limits (Q690870) (← links)
- Stable limits for sums of dependent infinite variance random variables (Q718889) (← links)
- Time-changed extremal process as a random sup measure (Q726725) (← links)
- A new characterization of the normal law (Q870329) (← links)
- Extremal behaviour of models with multivariate random recurrence representation (Q875906) (← links)
- Regular variation of order 1 nonlinear AR-ARCH models (Q886112) (← links)
- The extremal index for GARCH(1,1) processes (Q907366) (← links)
- The autocorrelation structure of the Markov-switching asymmetric power GARCH process (Q945788) (← links)
- On the tvGARCH(1,1) model: existence, CLT, and tail index (Q946794) (← links)
- Distributional analysis of empirical volatility in GARCH processes (Q947260) (← links)
- Independent multiresolution component analysis and matching pursuit (Q951876) (← links)
- Testing for bubbles and change-points (Q953776) (← links)
- Subsampling tests for the mean change point with heavy-tailed innovations (Q1013151) (← links)
- Visualization and inference based on wavelet coefficients, SiZer and SiNos (Q1020702) (← links)
- Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations (Q1021853) (← links)
- Renewal theory for functionals of a Markov chain with compact state space. (Q1433900) (← links)
- Modeling tails of aggregate economic processes in a stochastic growth model (Q1623510) (← links)
- Inference on the tail process with application to financial time series modeling (Q1644260) (← links)
- An extreme value analysis of the last century crises across industries in the U.S. economy (Q1655601) (← links)
- A strong ergodic theorem for extreme and intermediate order statistics (Q1688844) (← links)
- Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models (Q1762973) (← links)
- Whittle estimation in a heavy-tailed GARCH(1,1) model. (Q1766031) (← links)
- Regular variation of GARCH processes. (Q1766073) (← links)
- Quantile autocovariances: a powerful tool for hard and soft partitional clustering of time series (Q1795021) (← links)
- An algorithm for nonparametric GARCH modelling. (Q1852883) (← links)
- The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model. (Q1879899) (← links)
- Interval estimation of the tail index of a GARCH(1,1) model (Q1936534) (← links)
