The following pages link to ARMA MODELS WITH ARCH ERRORS (Q3341736):
Displaying 50 items.
- Portfolio risk assessment using multivariate extreme value methods (Q482071) (← links)
- Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE (Q738084) (← links)
- Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach (Q834310) (← links)
- Asymptotic inference in multiple-threshold double autoregressive models (Q888334) (← links)
- On the stationary tail index of iterated random Lipschitz functions (Q898406) (← links)
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form (Q899521) (← links)
- On robust testing for conditional heteroscedasticity in time series models (Q956923) (← links)
- ARCH modeling in finance. A review of the theory and empirical evidence (Q1185104) (← links)
- Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model (Q1195779) (← links)
- Testing for GARCH effects: A one-sided approach (Q1298438) (← links)
- A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model (Q1359748) (← links)
- Fitting ARMA time series by structural equation models (Q1362271) (← links)
- A note on the autocorrelations related to a bilinear model with non-independent shocks (Q1382221) (← links)
- Coefficient constancy test in AR-ARCH models (Q1613041) (← links)
- Extremal behavior of the autoregressive process with ARCH(1) errors (Q1613588) (← links)
- Nonparametric estimates for conditional quantiles of time series (Q1621960) (← links)
- Smoothed conditional scale function estimation in AR(1)-ARCH(1) processes (Q1658202) (← links)
- CPO plots for ARMA model selection (Q1762909) (← links)
- Generalized autoregressive conditional heteroscedasticity (Q1821471) (← links)
- The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors (Q1872440) (← links)
- The ARMA alphabet soup: a tour of ARMA model variants (Q1950327) (← links)
- Strict stationarity testing and GLAD estimation of double autoregressive models (Q2000866) (← links)
- Non-standard inference for augmented double autoregressive models with null volatility coefficients (Q2295807) (← links)
- The spurious effect of ARCH errors on linearity tests: a theoretical note and an alternative maximum likelihood approach (Q2691749) (← links)
- Reprint of: Generalized autoregressive conditional heteroskedasticity (Q2697962) (← links)
- Improved multivariate portmanteau test (Q2930880) (← links)
- NON-STATIONARITY AND QUASI-MAXIMUM LIKELIHOOD ESTIMATION ON A DOUBLE AUTOREGRESSIVE MODEL (Q2936569) (← links)
- HYPOTHESIS TESTING FOR ARCH MODELS: A MULTIPLE QUANTILE REGRESSIONS APPROACH (Q2937711) (← links)
- Analysis of ARMA-ARCH models for securities investment fund markets (Q3017114) (← links)
- Estimation and Asymptotic Inference in the AR-ARCH Model (Q3086362) (← links)
- Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation (Q3168912) (← links)
- Intertemporal consumer behaviour under structural changes in income (Q3350623) (← links)
- Finite Sample Theory of QMLE in ARCH Models with Dynamics in the Mean Equation (Q3552847) (← links)
- Modelling the persistence of conditional variances (Q3756387) (← links)
- (Q3780320) (← links)
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (Q4031295) (← links)
- Maximum likelihood estimation for arma models in the presence of ARMA errors (Q4226913) (← links)
- Stability conditions for a bivariate arch system which is cointegrated in mean (Q4275853) (← links)
- Hysteresis and cyclical variability in real wages, output and unemployment: empirical evidence from nonlinear methods for the United States (Q4304478) (← links)
- On the uniform ergodicity of Markov processes of order 2 (Q4435687) (← links)
- On testing for multivariate ARCH effects in vector time series models (Q4470644) (← links)
- LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE (Q4562555) (← links)
- Detecting parameter shift in garch models (Q4853099) (← links)
- Performance of control charts for autoregressive conditional heteroscedastic processes (Q4935461) (← links)
- (Q4991235) (← links)
- Oracally efficient estimation and testing for an ARCH model with trend (Q5078550) (← links)
- Extracting Conditionally Heteroskedastic Components using Independent Component Analysis (Q5111846) (← links)
- The Marginal Density of a TMA(1) Process (Q5111858) (← links)
- On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models (Q5135327) (← links)
- (Q5425800) (← links)
