Pages that link to "Item:Q4340689"

The following pages link to Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models (Q4340689):

Displaying 50 items.

• Semiparametric efficient adaptive estimation of asymmetric GARCH models (Q274928) (← links)
• Modelling conditional heteroskedasticity and skewness using the skew-normal distribution (Q478213) (← links)
• Fourth order pseudo maximum likelihood methods (Q737907) (← links)
• Comparison of symmetry tests against some skew-symmetric alternatives in i.i.d. and non-i.i.d. setting (Q830603) (← links)
• A new hyperbolic GARCH model (Q888335) (← links)
• Estimating VAR-MGARCH models in multiple steps (Q905385) (← links)
• A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity (Q946272) (← links)
• The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study (Q961410) (← links)
• A bootstrap approach to test the conditional symmetry in time series models (Q1019981) (← links)
• Estimating continuous-time stochastic volatility models of the short-term interest rate (Q1362071) (← links)
• Fat tails and asymmetry in financial volatility models. (Q1427747) (← links)
• Nonstationary GARCH with \(t\)-distributed innovations (Q1667982) (← links)
• Lévy process-driven asymmetric heteroscedastic option pricing model and empirical analysis (Q1727182) (← links)
• Maximum entropy test for GARCH models (Q1731233) (← links)
• Efficiency comparisons of maximum-likelihood-based estimators in GARCH models (Q1808557) (← links)
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations (Q1810673) (← links)
• The efficiency of the estimators of the parameters in GARCH processes. (Q1879947) (← links)
• Specification tests for the error distribution in GARCH models (Q1927139) (← links)
• On the estimation and diagnostic checking of the ARFIMA-HYGARCH model (Q1927143) (← links)
• Maximum likelihood estimation for score-driven models (Q2116342) (← links)
• Consistent non-Gaussian pseudo maximum likelihood estimators (Q2280575) (← links)
• Robust M-estimation of multivariate GARCH models (Q2445701) (← links)
• Sequential estimation of shape parameters in multivariate dynamic models (Q2453083) (← links)
• Robust estimation and inference for heavy tailed GARCH (Q2515512) (← links)
• Outliers and misleading leverage effect in asymmetric GARCH-type models (Q2699591) (← links)
• Quantile Regression for Location‐Scale Time Series Models with Conditional Heteroscedasticity (Q2821474) (← links)
• Adaptive quasi-maximum likelihood estimation of GARCH models with Student’s<i>t</i>likelihood (Q2830196) (← links)
• HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS (Q2886979) (← links)
• On the efficiency of a semi‐parametric GARCH model (Q3018505) (← links)
• Towards a Computationally Tractable Maximum Entropy Principle for Nonstationary Financial Time Series (Q3122064) (← links)
• A Consistent Test for Multivariate Conditional Distributions (Q3168910) (← links)
• Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation (Q3168912) (← links)
• Transformations to symmetry based on the probability weighted characteristic function (Q3462428) (← links)
• <i>M</i>-ESTIMATION IN GARCH MODELS (Q3551008) (← links)
• Finite Sample Theory of QMLE in ARCH Models with Dynamics in the Mean Equation (Q3552847) (← links)
• Computational Examples of a New Method for Distribution Selection in the Pearson System (Q3604109) (← links)
• Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation (Q3616249) (← links)
• Two-step methods in VaR prediction and the importance of fat tails (Q4683039) (← links)
• A functional conditional symmetry test for a GARCH-SM model: Power asymptotic properties (Q4918192) (← links)
• On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models (Q5135327) (← links)
• Semiparametric Time Series Models with Log‐concave Innovations: Maximum Likelihood Estimation and its Consistency (Q5177947) (← links)
• Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations (Q5225252) (← links)
• Testing Symmetry of the Error Distribution in Nonlinear Heteroscedastic Models (Q5321945) (← links)
• Effects of outliers on the identification and estimation of GARCH models (Q5430496) (← links)
• Estimation of temporally aggregated multivariate GARCH models (Q5433115) (← links)
• Pseudo‐likelihood estimation in ARCH models (Q5443826) (← links)
• An empirical study of the impact of skewness and kurtosis on hedging decisions (Q5745646) (← links)
• Contemporaneous asymmetry in GARCH processes (Q5932779) (← links)
• A consistent test for conditional symmetry in time series models (Q5939174) (← links)
• A practical multivariate approach to testing volatility spillover (Q6094458) (← links)