Pages that link to "Item:Q5472959"
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The following pages link to Inference in Arch and Garch Models with Heavy-Tailed Errors (Q5472959):
Displaying 50 items.
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations (Q276934) (← links)
- Asymptotic and bootstrap inference for inequality and poverty measures (Q288352) (← links)
- Income distribution and inequality measurement: the problem of extreme values (Q289196) (← links)
- Estimation and tests for power-transformed and threshold GARCH models (Q290965) (← links)
- Testing for multivariate volatility functions using minimum volume sets and inverse regression (Q299269) (← links)
- Asymptotics for parametric GARCH-in-mean models (Q308384) (← links)
- Conditional value-at-risk: semiparametric estimation and inference (Q311646) (← links)
- Statistical inference for nonparametric GARCH models (Q311986) (← links)
- A CLT for martingale transforms with infinite variance (Q334015) (← links)
- Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence (Q334843) (← links)
- Efficient likelihood estimation in state space models (Q449965) (← links)
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models (Q451281) (← links)
- On dynamics of volatilities in nonstationary GARCH models (Q467000) (← links)
- Asymptotic behavior of CLS estimators for 2-type doubly symmetric critical Galton-Watson processes with immigration (Q470074) (← links)
- Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
- Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models (Q477106) (← links)
- R-estimation in semiparametric dynamic location-scale models (Q503558) (← links)
- Empirical likelihood for AR-ARCH models based on LAD estimation (Q511188) (← links)
- Moment condition tests for heavy tailed time series (Q528143) (← links)
- NM-QELE for ARMA-GARCH models with non-Gaussian innovations (Q534428) (← links)
- Semi- and nonparametric ARCH processes (Q609736) (← links)
- Quantile inference for heteroscedastic regression models (Q630938) (← links)
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models (Q651027) (← links)
- Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE (Q738084) (← links)
- Robust subsampling (Q738145) (← links)
- Bootstrap methods for dependent data: a review (Q743759) (← links)
- Comparison of symmetry tests against some skew-symmetric alternatives in i.i.d. and non-i.i.d. setting (Q830603) (← links)
- Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions (Q840372) (← links)
- Conditional least squares estimation in nonstationary nonlinear stochastic regression models (Q847648) (← links)
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach (Q869981) (← links)
- Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations (Q888322) (← links)
- Statistical inference for conditional quantiles in nonlinear time series models (Q888341) (← links)
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (Q894634) (← links)
- Robust estimates for GARCH models (Q935425) (← links)
- On the predictability of long-range dependent series (Q966347) (← links)
- On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity (Q1025338) (← links)
- Break detection in the covariance structure of multivariate time series models (Q1043722) (← links)
- Nonparametric estimates for conditional quantiles of time series (Q1621960) (← links)
- Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness (Q1659142) (← links)
- Nonstationary GARCH with \(t\)-distributed innovations (Q1667982) (← links)
- The ZD-GARCH model: a new way to study heteroscedasticity (Q1680184) (← links)
- A note on the QMLE limit theory in the non-stationary ARCH(1) model (Q1695669) (← links)
- Tail behavior and dependence structure in the APARCH model (Q1695685) (← links)
- Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model (Q1726827) (← links)
- Copula parameter change test for nonlinear AR models with nonlinear GARCH errors (Q1731361) (← links)
- Exact tests based on the Baumgartner-Weiß-Schindler statistic -- a survey (Q1767297) (← links)
- Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes (Q1782687) (← links)
- Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model (Q1786796) (← links)
- Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations (Q1927104) (← links)
- Interval estimation of the tail index of a GARCH(1,1) model (Q1936534) (← links)
