Quantile Regression Estimator for GARCH Models (Q4911963): Difference between revisions

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+.7375
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+The rate of consistency of the quasi-maximum likelihood estimator.
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+The efficiency of the estimators of the parameters in GARCH processes.
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+GARCH processes: structure and estimation
@@ Property / cites work: GARCH processes: structure and estimation / rank @@
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+The Lindeberg-Levy Theorem for Martingales
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+Q4836494
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+Generalized autoregressive conditional heteroscedasticity
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+Stationarity of GARCH processes and of some nonnegative time series
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+Changes in the U.S. Wage Structure 1963-1987: Application of Quantile Regression
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+Testing parameter constancy in models with infinite variance errors.
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+Q4114551
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+Least absolute deviation estimation for regression with ARMA errors
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+Efficient estimation in semiparametric GARCH models
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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+Inference in Arch and Garch Models with Heavy-Tailed Errors
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+Regression Quantiles
@@ Property / cites work: Regression Quantiles / rank @@
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+Goodness of Fit and Related Inference Processes for Quantile Regression
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+L-Estimation for Linear Models
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+A weak convergence result useful in robust autoregression
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+Q3552956
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+Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE
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+Least absolute deviations estimation for ARCH and GARCH models
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+Weak convergence and empirical processes. With applications to statistics
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+Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models
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