Pages that link to "Item:Q2813909"
From MaRDI portal
The following pages link to Least absolute deviations estimation for ARCH and GARCH models (Q2813909):
Displayed 50 items.
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations (Q276934) (← links)
- On Fréchet autoregressive conditional duration models (Q282897) (← links)
- Estimation and tests for power-transformed and threshold GARCH models (Q290965) (← links)
- Composite quantile regression estimation for P-GARCH processes (Q295137) (← links)
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models (Q451281) (← links)
- Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
- The relationship between the absolute deviation from a quantile and Gini's mean difference (Q478477) (← 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)
- Nonlinear time series modeling and forecasting for periodic and arch effects (Q538220) (← links)
- Semi- and nonparametric ARCH processes (Q609736) (← links)
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models (Q651027) (← links)
- Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations (Q888322) (← links)
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (Q894634) (← links)
- Robust estimates for GARCH models (Q935425) (← links)
- Conditional variance estimation in heteroscedastic regression models (Q958779) (← links)
- Robust and efficient estimation with weighted composite quantile regression (Q1619607) (← links)
- Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness (Q1659142) (← links)
- The ZD-GARCH model: a new way to study heteroscedasticity (Q1680184) (← links)
- The dynamic and dependence of takaful and conventional stock return behaviours: evidence from the insurance industry in Saudi Arabia (Q1757620) (← links)
- Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals (Q2019875) (← links)
- Spatial quantile estimation of multivariate threshold time series models (Q2146847) (← links)
- Nearly nonstationary processes under infinite variance GARCH noises (Q2160010) (← links)
- Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity (Q2280590) (← links)
- Test for tail index constancy of GARCH innovations based on conditional volatility (Q2317888) (← links)
- M-estimation for periodic GARCH model with high-frequency data (Q2401782) (← links)
- Estimation in a class of nonlinear heteroscedastic time series models (Q2426824) (← links)
- Least absolute deviation estimation of autoregressive conditional duration model (Q2431048) (← links)
- Robust M-estimation of multivariate GARCH models (Q2445701) (← links)
- On the empirical characteristic function process of the residuals in GARCH models and applications (Q2513933) (← links)
- Semiparametric GEE analysis in partially linear single-index models for longitudinal data (Q2515493) (← links)
- Robust estimation and inference for heavy tailed GARCH (Q2515512) (← links)
- Robust \(M\)-estimate of GJR model with high frequency data (Q2516046) (← links)
- Outliers and misleading leverage effect in asymmetric GARCH-type models (Q2699591) (← links)
- Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model (Q2807747) (← links)
- APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS (Q2810372) (← links)
- SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL (Q2826010) (← links)
- Adaptive quasi-maximum likelihood estimation of GARCH models with Student’s<i>t</i>likelihood (Q2830196) (← links)
- Smoothed empirical likelihood for GARCH models with heavy-tailed errors (Q2834728) (← links)
- A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach (Q2852494) (← links)
- Limit theory for a general class of GARCH models with just barely infinite variance (Q2930910) (← links)
- Time series models with asymmetric Laplace innovations (Q3070611) (← links)
- On stationarity and ergodicity of the bilinear model with applications to GARCH models (Q3077644) (← links)
- RANK-BASED ESTIMATION FOR GARCH PROCESSES (Q3168422) (← links)
- LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS (Q3450342) (← links)
- A Gini Autocovariance Function for Time Series Modelling (Q3452743) (← links)
- Estimating GARCH models: when to use what? (Q3499426) (← links)
- <i>M</i>-ESTIMATION IN GARCH MODELS (Q3551008) (← links)
- Modelling Multivariate Volatilities via Conditionally Uncorrelated Components (Q3631467) (← links)