Contemporaneous asymmetry in GARCH processes (Q5932779): Difference between revisions

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+MaRDI publication profile
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+Generalized autoregressive conditional heteroscedasticity
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+Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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+Stationarity of GARCH processes and of some nonnegative time series
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@@ Property / cites work @@
+Variance Function Estimation
@@ Property / cites work: Variance Function Estimation / rank @@
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+Temporal Aggregation of Garch Processes
@@ Property / cites work: Temporal Aggregation of Garch Processes / rank @@
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+THE GARCH OPTION PRICING MODEL
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Estimating linear representations of nonlinear processes
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+Stationarity of Gtarch Processes
@@ Property / cites work: Stationarity of Gtarch Processes / rank @@
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+Q4298738
@@ Property / cites work: Q4298738 / rank @@
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+ARCH models and financial applications
@@ Property / cites work: ARCH models and financial applications / rank @@
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+Autoregressive Conditional Density Estimation
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+Discrete time option pricing with flexible volatility estimation
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+A Class of Nonlinear Arch Models
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+Q5613647
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+Option Pricing in ARCH-type Models
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+On the general bilinear time series model
@@ Property / cites work: On the general bilinear time series model / rank @@
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+On a threshold autoregression with conditional heteroscedastic variances
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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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+ARCH models as diffusion approximations
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
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+Marginalization and contemporaneous aggregation in multivariate GARCH processes
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+Quadratic ARCH Models
@@ Property / cites work: Quadratic ARCH Models / rank @@
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+Q5445942
@@ Property / cites work: Q5445942 / rank @@
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+Threshold heteroskedastic models
@@ Property / cites work: Threshold heteroskedastic models / rank @@
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+https://doi.org/10.1016/s0304-4076(00)00084-1
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+W2075320224
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+Q127976621
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