Pages that link to "Item:Q2515512"
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The following pages link to Robust estimation and inference for heavy tailed GARCH (Q2515512):
Displaying 18 items.
- On the measurement and treatment of extremes in time series (Q508717) (← links)
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (Q894634) (← links)
- Robust closed-form estimators for the integer-valued GARCH(1,1) model (Q1659080) (← links)
- Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness (Q1659142) (← links)
- Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations (Q1927104) (← links)
- Adjusted extreme conditional quantile autoregression with application to risk measurement (Q2039159) (← links)
- Non-standard inference for augmented double autoregressive models with null volatility coefficients (Q2295807) (← links)
- Correcting outliers in GARCH models: a weighted forward approach (Q2338226) (← links)
- Outliers and misleading leverage effect in asymmetric GARCH-type models (Q2699591) (← links)
- Estimation and tests for TGTACH$\bm{(1, 1)}$ models with heavy-tailed errors: A uniform framework (Q5063704) (← links)
- Robust parameter estimation of regression model with AR(p) error terms (Q5085029) (← links)
- Least‐squares estimation of GARCH(1,1) models with heavy‐tailed errors (Q5093957) (← links)
- Robust bootstrap forecast densities for GARCH returns and volatilities (Q5106994) (← links)
- M-estimates for the multiplicative error model (Q5107692) (← links)
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS (Q5187620) (← links)
- Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors (Q5860900) (← links)
- SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL (Q6078284) (← links)
- Extremal Dependence-Based Specification Testing of Time Series (Q6190738) (← links)
