Pages that link to "Item:Q4807280"
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The following pages link to MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS (Q4807280):
Displaying 50 items.
- A family of autoregressive conditional duration models (Q269391) (← links)
- Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity (Q278492) (← links)
- Kernel estimation of hazard functions when observations have dependent and common covariates (Q284290) (← links)
- The common and specific components of dynamic volatility (Q291638) (← links)
- Bootstrap refinements for QML estimators of the GARCH(1,1) parameters (Q295411) (← links)
- Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root (Q295710) (← links)
- Quality control for structural credit risk models (Q299230) (← links)
- Nonlinear models for strongly dependent processes with financial applications (Q299256) (← links)
- Nonparametric estimation of conditional VaR and expected shortfall (Q299264) (← links)
- Asymptotic results of a nonparametric conditional cumulative distribution estimator in the single functional index modeling for time series data with applications (Q300515) (← links)
- Functional-coefficient models for nonstationary time series data (Q301966) (← links)
- Delay times of sequential procedures for multiple time series regression models (Q302113) (← links)
- Asymptotics for parametric GARCH-in-mean models (Q308384) (← links)
- Self-normalized Cramér-type moderate deviations under dependence (Q309727) (← links)
- Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique (Q391536) (← links)
- Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations (Q391793) (← links)
- Functional central limit theorems for augmented GARCH(\(p\),\(q\)) and FIGARCH processes (Q397230) (← links)
- Stationary bootstrap for kernel density estimators under \(\psi\)-weak dependence (Q434926) (← links)
- Graphical modelling of multivariate time series (Q438963) (← links)
- On the adaptive wavelet deconvolution of a density for strong mixing sequences (Q457615) (← links)
- Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
- Adaptive estimation of an additive regression function from weakly dependent data (Q476220) (← links)
- A bootstrapped spectral test for adequacy in weak ARMA models (Q494376) (← links)
- Nonparametric specification tests for stochastic volatility models based on volatility density (Q494406) (← links)
- Estimation of average treatment effects with panel data: asymptotic theory and implementation (Q506048) (← links)
- Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework (Q506091) (← links)
- Local GMM estimation of time series models with conditional moment restrictions (Q528061) (← links)
- Estimation and inference in unstable nonlinear least squares models (Q528129) (← links)
- Semi-parametric estimation of American option prices (Q528168) (← links)
- Powerful tests for structural changes in volatility (Q528175) (← links)
- Adaptive wavelet estimation of a biased density for strongly mixing sequences (Q539383) (← links)
- A multivariate version of Hoeffding's phi-square (Q604371) (← links)
- Extremal memory of stochastic volatility with an application to tail shape inference (Q607175) (← links)
- A note on wavelet density deconvolution for weakly dependent data (Q623487) (← links)
- Mixing properties of ARCH and time-varying ARCH processes (Q637105) (← links)
- Testing instantaneous linear Granger causality in presence of nonlinear dynamics (Q650870) (← links)
- Sensitivity of risk measures with respect to the normal approximation of total claim distributions (Q654808) (← links)
- Mildly explosive autoregression with mixing innovations (Q684059) (← links)
- On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity (Q734550) (← links)
- Efficient estimation in dynamic conditional quantile models (Q736520) (← links)
- Testing for unobserved heterogeneity in exponential and Weibull duration models (Q736541) (← links)
- A note on the Bahadur representation of sample quantiles for \(\alpha \)-mixing random variables (Q766218) (← links)
- A white noise test under weak conditions (Q826992) (← links)
- Strong approximation for the sums of squares of augmented GARCH sequences (Q850764) (← links)
- HAC estimation and strong linearity testing in weak ARMA models (Q860337) (← links)
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (Q894634) (← links)
- Estimating beta-mixing coefficients via histograms (Q902219) (← links)
- Distributional analysis of empirical volatility in GARCH processes (Q947260) (← links)
- The functional central limit theorem for a family of GARCH observations with applications (Q952866) (← links)
- Nonparametric density estimation for positive time series (Q962247) (← links)
