Unobserved component models with asymmetric conditional variances (Q959303): Difference between revisions

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+Esther Ruiz Ortega
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+MaRDI publication profile
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+W2143168994
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+TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES
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+Constrained Indirect Estimation
@@ Property / cites work: Constrained Indirect Estimation / rank @@
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+Q2760417
@@ Property / cites work: Q2760417 / rank @@
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+Likelihood-Based Estimation of Latent Generalized ARCH Structures
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+Properties of moments of a family of GARCH processes
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+Volatility and Links between National Stock Markets
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models
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+Quadratic ARCH Models
@@ Property / cites work: Quadratic ARCH Models / rank @@
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+Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
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