Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models (Q5697593): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1239/jap/1118777180
+Normal rank
@@ Property / OpenAlex ID @@
+W1995750147
@@ Property / OpenAlex ID: W1995750147 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Q4726487
@@ Property / cites work: Q4726487 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractionally integrated generalized autoregressive conditional heteroskedasticity
+Normal rank
@@ Property / cites work @@
+Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
+Normal rank
@@ Property / cites work @@
+Q3210734
@@ Property / cites work: Q3210734 / rank @@
+Normal rank
@@ Property / cites work @@
+Tail behaviour of the stationary density of general non-linear autoregressive processes of order 1
+Normal rank
@@ Property / cites work @@
+Q4220711
@@ Property / cites work: Q4220711 / rank @@
+Normal rank
@@ Property / cites work @@
+Temporal Aggregation of Garch Processes
@@ Property / cites work: Temporal Aggregation of Garch Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5697593