Pages that link to "Item:Q2574642"
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The following pages link to Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure. (Q2574642):
Displaying 27 items.
- Estimation and tests for power-transformed and threshold GARCH models (Q290965) (← links)
- Inference in nonstationary asymmetric GARCH models (Q385779) (← links)
- Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach (Q488612) (← links)
- Feasible optimum Godambe scores for a semi-parametric GARCH time series (Q508110) (← links)
- Asymptotic optimal inference for multivariate branching-Markov processes via martingale estimating functions and mixed normality (Q538181) (← links)
- Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes (Q710816) (← links)
- A note on the Bahadur representation of sample quantiles for \(\alpha \)-mixing random variables (Q766218) (← links)
- Bahadur representation of linear kernel quantile estimator of VaR under \(\alpha \)-mixing assumptions (Q963848) (← links)
- Stationarity and geometric ergodicity of a class of nonlinear ARCH models (Q997428) (← links)
- Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations (Q1044011) (← links)
- Semiparametric efficient adaptive estimation of the GJR-GARCH model (Q1756033) (← links)
- QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes (Q2063074) (← links)
- Estimation of multivariate asymmetric power GARCH models (Q2079614) (← links)
- Hybrid quantile estimation for asymmetric power GARCH models (Q2116338) (← links)
- Test for tail index constancy of GARCH innovations based on conditional volatility (Q2317888) (← links)
- Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes (Q2343638) (← links)
- Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models (Q2454005) (← links)
- Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors (Q2467376) (← links)
- Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes (Q3396477) (← links)
- MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS (Q3408521) (← links)
- Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series (Q4912051) (← links)
- Power periodic threshold GARCH model: Structure and estimation (Q5076941) (← links)
- Local asymptotic normality for long-memory process with strong mixing noises (Q5077223) (← links)
- Autoregressive processes with generalized hyperbolic innovations (Q5083924) (← links)
- Uniformly strong consistency and Berry-Esseen bound of frequency polygons for <i>α</i>-mixing samples (Q5086157) (← links)
- Non-ergodic martingale estimating functions and related asymptotics (Q5169781) (← links)
- Threshold \(\text{Arch}(1)\) processes: Asymptotic inference (Q5952056) (← links)
