Pages that link to "Item:Q2784952"
From MaRDI portal
The following pages link to Estimation of GARCH models from the autocorrelations of the squares of a process (Q2784952):
Displaying 29 items.
- On periodic time-varying bilinear processes: structure and asymptotic inference (Q333536) (← links)
- On the origin of high persistence in GARCH-models (Q429135) (← links)
- Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions (Q927367) (← links)
- Minimum distance estimation of GARCH(1,1) models (Q1010531) (← links)
- Deciding between GARCH and stochastic volatility via strong decision rules (Q1044073) (← links)
- A two-step indirect inference approach to estimate the long-run risk asset pricing model (Q1754508) (← links)
- Estimating parameters of a \(k\)-factor GIGARCH process (Q1887011) (← links)
- Structural change and estimated persistence in the \(GARCH(1,1)\)-model (Q1934140) (← links)
- Long memory with Markov-switching GARCH (Q1934779) (← links)
- Estimation and asymptotic properties of a stationary univariate GARCH(\(p,q\)) process (Q2192332) (← links)
- Correlated squared returns (Q2241899) (← links)
- Minimum distance estimation of ARFIMA processes (Q2361199) (← links)
- Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE (Q2691780) (← links)
- Fitting non-Gaussian persistent data (Q2862418) (← links)
- Minimum distance estimation of Markov-switching bilinear processes (Q2953974) (← links)
- TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS (Q3409062) (← links)
- Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation (Q3616249) (← links)
- ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL (Q3632428) (← links)
- Properties of the Autocorrelation Function of Squared Observations for Second-order Garch Processes Under Two Sets of Parameter Constraints (Q4258763) (← links)
- Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model (Q4416012) (← links)
- Moments of the ARMA–EGARCH model (Q4439303) (← links)
- Analysis of the correlation structure of square time series (Q4677028) (← links)
- Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models (Q4828167) (← links)
- Robust minimum distance estimators for the CARR(1,1) model (Q5033942) (← links)
- Robust and efficient estimation of GARCH models based on Hellinger distance (Q5044704) (← links)
- Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP) (Q5092651) (← links)
- A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL (Q5438206) (← links)
- On the asymptotic distribution of sample autocovariance differences of long-memory processes (Q6178483) (← links)
- Robust estimation of (partial) autocorrelation (Q6604458) (← links)
