Pages that link to "Item:Q4031295"
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The following pages link to Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (Q4031295):
Displaying 50 items.
- Analytical quasi maximum likelihood inference in multivariate volatility models (Q61439) (← links)
- MIDAS Regressions: Further Results and New Directions (Q130725) (← links)
- Fractionally integrated time varying GARCH model (Q257572) (← links)
- Testing normality: a GMM approach (Q261889) (← links)
- Quasi-maximum likelihood estimation for conditional quantiles (Q265018) (← links)
- Neglecting parameter changes in GARCH models (Q265108) (← links)
- Semiparametric efficient adaptive estimation of asymmetric GARCH models (Q274928) (← links)
- Matrix exponential GARCH (Q278044) (← links)
- A long-run pure variance common features model for the common volatilities of the Dow Jones (Q291621) (← links)
- A multiple indicators model for volatility using intra-daily data (Q292000) (← 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)
- Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks (Q299272) (← links)
- Granger causality in risk and detection of extreme risk spillover between financial markets (Q302200) (← links)
- Modelling conditional heteroskedasticity and skewness using the skew-normal distribution (Q478213) (← links)
- R-estimation in semiparametric dynamic location-scale models (Q503558) (← links)
- A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions (Q528126) (← links)
- Semi- and nonparametric ARCH processes (Q609736) (← links)
- An efficient descent direction method with cutting planes (Q623787) (← links)
- Diagnostic checking for conditional heteroscedasticity models (Q625886) (← links)
- Prediction-based estimating functions: review and new developments (Q642200) (← links)
- Disequilibrium and uncertainty in cointegrated systems (Q672564) (← links)
- A note on intraday foreign exchange volatility and the informational role of quote arrivals (Q672930) (← links)
- Efficient estimation of a multivariate multiplicative volatility model (Q736688) (← links)
- Fourth order pseudo maximum likelihood methods (Q737907) (← links)
- Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets (Q836967) (← links)
- Macroeconomic news, business cycles and Australian financial markets (Q842825) (← links)
- On asymptotic theory for multivariate GARCH models (Q842922) (← links)
- Dynamic efficiency in the east European emerging markets (Q862569) (← links)
- Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility (Q867688) (← links)
- Common volatility and correlation clustering in asset returns (Q884052) (← links)
- Statistical inference for conditional quantiles in nonlinear time series models (Q888341) (← links)
- Estimating VAR-MGARCH models in multiple steps (Q905385) (← links)
- Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk (Q929674) (← links)
- Multivariate volatility in environmental finance (Q929681) (← links)
- How has volatility in metals markets changed? (Q929691) (← links)
- Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach (Q929743) (← links)
- A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity (Q946272) (← links)
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements (Q951384) (← links)
- Approximating volatility diffusions with CEV-ARCH models (Q956536) (← links)
- Evaluating volatility forecasts in option pricing in the context of a simulated options market (Q957226) (← links)
- Volatility spillovers, interdependence and comovements: a Markov switching approach (Q1023631) (← links)
- Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models (Q1037440) (← links)
- Modelling asymmetric volatility dynamics by multivariate BL-GARCH models (Q1039975) (← links)
- Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491) (← links)
- ARCH modeling in finance. A review of the theory and empirical evidence (Q1185104) (← links)
- The inflation and output variability tradeoff: Evidence from a GARCH model (Q1277718) (← links)
- Testing for GARCH effects: A one-sided approach (Q1298438) (← links)
- Long-term equity anticipation securities and stock market volatility dynamics (Q1302760) (← links)
- Testing for serial correlation in multivariate regression models (Q1305639) (← links)
