The following pages link to Moments of the ARMA–EGARCH model (Q4439303):
Displaying 9 items.
- A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect (Q961822) (← links)
- Accurate value-at-risk forecasting based on the normal-GARCH model (Q1010573) (← links)
- (Q3068002) (← links)
- Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model (Q4416012) (← links)
- ARMA representation of integrated and realized variances (Q4458360) (← links)
- Analysis of the correlation structure of square time series (Q4677028) (← links)
- Moments of AR(k) Parameter Estimators (Q5259165) (← links)
- Simulated maximum likelihood in autoregressive models with stochastic volatility errors (Q6574701) (← links)
- Exponential-Type GARCH Models With Linear-in-Variance Risk Premium (Q6617781) (← links)