Conditional asymmetry in power ARCH\((\infty)\) models (Q2697981): Difference between revisions

@@ Property / DOI @@
-.1016/j.jeconom.2021.10.013
@@ Property / DOI: 10.1016/j.jeconom.2021.10.013 / rank @@
-Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2021.10.013
+Normal rank
@@ Property / OpenAlex ID @@
+W4206435820
@@ Property / OpenAlex ID: W4206435820 / rank @@
+Normal rank
@@ Property / cites work @@
+Testing When a Parameter is on the Boundary of the Maintained Hypothesis
+Normal rank
@@ Property / cites work @@
+Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
+Normal rank
@@ Property / cites work @@
+ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS
+Normal rank
@@ Property / cites work @@
+GARCH processes: structure and estimation
@@ Property / cites work: GARCH processes: structure and estimation / rank @@
+Normal rank
@@ Property / cites work @@
+The Lindeberg-Levy Theorem for Martingales
@@ Property / cites work: The Lindeberg-Levy Theorem for Martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Q4836494
@@ Property / cites work: Q4836494 / rank @@
+Normal rank
@@ Property / cites work @@
+Modeling and pricing long memory in stock market volatility
+Normal rank
@@ Property / cites work @@
+Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
+Normal rank
@@ Property / cites work @@
+On the existence of some ARCH\((\infty)\)processes
+Normal rank
@@ Property / cites work @@
+QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
+Normal rank
@@ Property / cites work @@
+Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
+Normal rank
@@ Property / cites work @@
+Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons
+Normal rank
@@ Property / cites work @@
+GARCH Models
@@ Property / cites work: GARCH Models / rank @@
+Normal rank
@@ Property / cites work @@
+A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS
+Normal rank
@@ Property / cites work @@
+STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL  LIMIT THEOREM
+Normal rank
@@ Property / cites work @@
+WHITTLE ESTIMATION OF ARCH MODELS
@@ Property / cites work: WHITTLE ESTIMATION OF ARCH MODELS / rank @@
+Normal rank
@@ Property / cites work @@
+STATIONARY INTEGRATED ARCH(∞) AND AR(∞) PROCESSES WITH FINITE VARIANCE
+Normal rank
@@ Property / cites work @@
+Econometric specification of stochastic discount factor models
+Normal rank
@@ Property / cites work @@
+On Asymptotic Theory for ARCH (∞) Models
@@ Property / cites work: On Asymptotic Theory for ARCH (∞) Models / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
+Normal rank
@@ Property / cites work @@
+The Model Confidence Set
@@ Property / cites work: The Model Confidence Set / rank @@
+Normal rank
@@ Property / cites work @@
+A goodness-of-fit test for ARCH(\(\infty\)) models
+Normal rank
@@ Property / cites work @@
+ON STATIONARITY IN THE ARCH(∞) MODEL
@@ Property / cites work: ON STATIONARITY IN THE ARCH(∞) MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
+Normal rank
@@ Property / cites work @@
+Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
+Normal rank
@@ Property / cites work @@
+Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
+Normal rank
@@ Property / cites work @@
+STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS
+Normal rank
@@ Property / cites work @@
+Whittle estimation of EGARCH and other exponential volatility models
+Normal rank
@@ Property / cites work @@
+Threshold heteroskedastic models
@@ Property / cites work: Threshold heteroskedastic models / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.JECONOM.2021.10.013
@@ Property / DOI: 10.1016/J.JECONOM.2021.10.013 / rank @@
+Normal rank