Estimation and tests for power-transformed and threshold GARCH models (Q290965): Difference between revisions

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+W2133155497
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+Q4247102
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+Regular variation of GARCH processes.
@@ Property / cites work: Regular variation of GARCH processes. / rank @@
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+GARCH processes: structure and estimation
@@ Property / cites work: GARCH processes: structure and estimation / rank @@
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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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+Least absolute deviation estimation for regression with ARMA errors
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Modelling the persistence of conditional variances
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+ARCH models and financial applications
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+Q3911791
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+Inference in Arch and Garch Models with Heavy-Tailed Errors
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+A Class of Nonlinear Arch Models
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+Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
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+Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
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+Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
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+On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process
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+Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
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+Q2709279
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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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+Realistic Statistical Modelling of Financial Data
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+Q4791405
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+Q4727203
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