Pages that link to "Item:Q4366214"
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The following pages link to On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity (Q4366214):
Displayed 50 items.
- An econometric analysis of asymmetric volatility: theory and application to patents (Q280248) (← links)
- Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations (Q391793) (← links)
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models (Q451281) (← links)
- Constancy test for FARIMA long memory processes (Q458109) (← links)
- On dynamics of volatilities in nonstationary GARCH models (Q467000) (← links)
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models (Q651027) (← links)
- A long memory model with normal mixture GARCH (Q656952) (← links)
- A wavelet-based approach for modelling exchange rates (Q719004) (← links)
- Score test of fit for composite hypothesis in the GARCH\((1,1)\) model (Q958816) (← links)
- The asymptotic convexity of the negative likelihood function of GARCH models (Q959162) (← links)
- Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model (Q960349) (← links)
- Diagnostic checking integer-valued ARCH\((p)\) models using conditional residual autocorrelations (Q962278) (← links)
- Modelling risk in agricultural finance: Application to the poultry industry in Taiwan (Q1005189) (← links)
- Modelling the asymmetric volatility of electronics patents in the USA. (Q1418619) (← links)
- On adaptive estimation in nonstationary ARMA models with GARCH errors (Q1429320) (← links)
- SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity (Q1608913) (← links)
- Comparison of specification tests for GARCH models (Q1623530) (← links)
- Fractionally differenced Gegenbauer processes with long memory: a review (Q1630399) (← links)
- Identification and validation of stable ARFIMA processes with application to UMTS data (Q1677799) (← links)
- Efficient computation of multiscale entropy over short biomedical time series based on linear state-space models (Q1694175) (← links)
- On model Fitting and estimation of strictly stationary processes (Q1697205) (← links)
- Serial independence tests for innovations of conditional mean and variance models (Q1708359) (← links)
- Goodness-of-fit tests for Log-GARCH and EGARCH models (Q1708360) (← links)
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (Q1763105) (← links)
- ARCH-type bilinear models with double long memory. (Q1766035) (← links)
- On the estimation and diagnostic checking of the ARFIMA-HYGARCH model (Q1927143) (← links)
- Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility (Q1927544) (← links)
- The ARMA alphabet soup: a tour of ARMA model variants (Q1950327) (← links)
- Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach (Q2022540) (← links)
- Forecasting volatility in bitcoin market (Q2022929) (← links)
- Estimation methods for stationary Gegenbauer processes (Q2110339) (← links)
- Portmanteau test for the asymmetric power GARCH model when the power is unknown (Q2151687) (← links)
- Estimating FARIMA models with uncorrelated but non-independent error terms (Q2243555) (← links)
- Testing linearity in semi-parametric functional data analysis (Q2255828) (← links)
- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form (Q2294518) (← links)
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets (Q2347732) (← links)
- Comparative analysis of risk ratings for the East European region (Q2486189) (← links)
- Fitting an error distribution in some heteroscedastic time series models (Q2497190) (← links)
- On functional limits of short- and long-memory linear processes with GARCH(1,1) noises (Q2512843) (← links)
- Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance (Q2513786) (← links)
- Testing for change points in time series models and limiting theorems for NED sequences (Q2642747) (← links)
- Fitting non-Gaussian persistent data (Q2862418) (← links)
- LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES (Q2886971) (← links)
- (Q2971501) (← links)
- PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS (Q3108567) (← links)
- Parametric Inference in Stationary Time Series Models with Dependent Errors (Q3145568) (← links)
- TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS (Q3168873) (← links)
- Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments (Q3182771) (← links)
- SEMI‐PARAMETRIC ANALYSIS OF COVARIANCE UNDER DEPENDENCE CONDITIONS WITHIN EACH GROUP (Q3530173) (← links)
- Estimation of<i>k</i>-Factor GIGARCH Process: A Monte Carlo Study (Q3543743) (← links)