The following pages link to Quadratic ARCH Models (Q4883973):
Displaying 50 items.
- Modelling volatility by variance decomposition (Q71677) (← links)
- A class of stochastic unit-root bilinear processes: mixing properties and unit-root test (Q290958) (← links)
- Time series properties of ARCH processes with persistent covariates (Q299219) (← links)
- A nonlinear model for long-memory conditional heteroscedasticity (Q327174) (← links)
- Goodness of fit assessment for a fractal model of stock markets (Q340460) (← links)
- Asymmetric GARCH processes featuring both threshold effect and bilinear structure (Q419142) (← links)
- RCA model with quadratic GARCH innovation distribution (Q452958) (← links)
- Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
- A structured variational learning approach for switching latent factor models (Q636175) (← links)
- Estimation and properties of a time-varying GQARCH(1,1)-M model (Q642451) (← links)
- Inconsistency of the MLE and inference based on weighted LS for LARCH models (Q736696) (← links)
- Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach (Q834310) (← links)
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements (Q951384) (← links)
- Evaluating volatility forecasts in option pricing in the context of a simulated options market (Q957226) (← links)
- Unobserved component models with asymmetric conditional variances (Q959303) (← links)
- Asymmetric multivariate normal mixture GARCH (Q961408) (← links)
- A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity (Q961418) (← links)
- Accurate value-at-risk forecasting based on the normal-GARCH model (Q1010573) (← links)
- Volatility forecasting using threshold heteroskedastic models of the intra-day range (Q1023630) (← links)
- Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models (Q1037440) (← links)
- Qualitative threshold ARCH models (Q1185111) (← links)
- Testing for GARCH effects: A one-sided approach (Q1298438) (← links)
- Properties of moments of a family of GARCH processes (Q1302764) (← links)
- Likelihood inference in BL-GARCH models (Q1424647) (← links)
- Testing the stable Paretian assumption (Q1600528) (← links)
- Conditional correlation in asset return and GARCH intensity model (Q1621670) (← links)
- On Chinese stock markets: how have they evolved over time? (Q1621929) (← links)
- A model for level induced conditional heteroskedasticity (Q1726803) (← links)
- Asymptotics of Cholesky GARCH models and time-varying conditional betas (Q1753058) (← links)
- The fine structure of volatility feedback. II: Overnight and intra-day effects (Q1782696) (← links)
- The fine-structure of volatility feedback. I: Multi-scale self-reflexivity (Q1782966) (← links)
- Stationarity and the existence of moments of a family of GARCH processes. (Q1858910) (← links)
- Evaluating GARCH models. (Q1858977) (← links)
- Statistical inference for time-inhomogeneous volatility models. (Q1879945) (← links)
- On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models (Q1927501) (← links)
- Partially adaptive econometric methods for regression and classification (Q1959110) (← links)
- Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models (Q2029214) (← links)
- LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise (Q2116336) (← links)
- Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo stock exchange (Q2150391) (← links)
- Nearly nonstationary processes under infinite variance GARCH noises (Q2160010) (← links)
- Model selection based on value-at-risk backtesting approach for GARCH-type models (Q2190298) (← links)
- Quadratic random coefficient autoregression with linear-in-parameters volatility (Q2350910) (← links)
- The uncertainties about the relationships risk-return-volatility in the Spanish stock market (Q2430228) (← links)
- Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models (Q2431710) (← links)
- Temporal aggregation of volatility models (Q2439047) (← links)
- Sequential estimation of shape parameters in multivariate dynamic models (Q2453083) (← links)
- Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions (Q2480221) (← links)
- A conditional-SGT-VaR approach with alternative GARCH models (Q2480227) (← links)
- Modeling fat tails in stock returns: a multivariate stable-GARCH approach (Q2512745) (← links)
- Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation (Q2630119) (← links)
