Pages that link to "Item:Q4468546"
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The following pages link to Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models (Q4468546):
Displaying 21 items.
- Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations (Q391793) (← links)
- On dynamics of volatilities in nonstationary GARCH models (Q467000) (← links)
- Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE (Q738084) (← links)
- On adaptive estimation in nonstationary ARMA models with GARCH errors (Q1429320) (← links)
- Estimating FARIMA models with uncorrelated but non-independent error terms (Q2243555) (← links)
- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form (Q2294518) (← links)
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets (Q2347732) (← links)
- Fitting an error distribution in some heteroscedastic time series models (Q2497190) (← links)
- On functional limits of short- and long-memory linear processes with GARCH(1,1) noises (Q2512843) (← links)
- Efficiency improvements in inference on stationary and nonstationary fractional time series (Q2583420) (← links)
- Parametric Inference in Stationary Time Series Models with Dependent Errors (Q3145568) (← links)
- Adaptive Estimation of Causal Periodic Autoregressive Model (Q3652708) (← links)
- A note on adaptation in garch models (Q4355144) (← links)
- Bayesian Inference for ARFIMA Models (Q5226139) (← links)
- ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY (Q5349015) (← links)
- A New Test for Short Memory in Long Memory Time Series (Q5885377) (← links)
- Robust estimation of GARMA model parameters with an application to cointegration among interest rates of industrialized countries (Q5953179) (← links)
- Time-varying multivariate causal processes (Q6118719) (← links)
- Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms (Q6158216) (← links)
- A general asymptotic theory for time-series models (Q6573259) (← links)
- Adaptive Inference in Heteroscedastic Fractional Time Series Models (Q6620832) (← links)
