Testing the existence of moments for GARCH processes (Q2116322): Difference between revisions

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+Q5560061
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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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+Q4391131
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+Efficient estimation in semiparametric GARCH models
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+A test for second-order stationarity of a time series based on the discrete Fourier transform
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Tests for conditional ellipticity in multivariate GARCH models
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+Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
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+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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+On Efficient Inference in GARCH Processes
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+Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models
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+Inference in nonstationary asymmetric GARCH models
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+Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
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+Properties of moments of a family of GARCH processes
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+Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
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+ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
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+On the range of validity of the autoregressive sieve bootstrap
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+A Model Specification Test For GARCH(1,1) Processes
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+The ZD-GARCH model: a new way to study heteroscedasticity
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+NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE  GARCH(<i>r</i>,<i>s</i>) AND ASYMMETRIC POWER  GARCH(<i>r</i>,<i>s</i>) MODELS
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+Stationarity and the existence of moments of a family of GARCH processes.
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+Nonstationary GARCH with \(t\)-distributed innovations
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+High Breakdown Point Conditional Dispersion Estimation with Application to S &amp; P 500 Daily Returns Volatility
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+The bootstrap does not alwayswork for heteroscedasticmodels
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+Testing for (in)finite moments
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+Asymptotic Statistics
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+Q4869532
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