Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model (Q2868871): Difference between revisions

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+W1942235537
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+.3292
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+On the Harris recurrence of iterated random Lipschitz functions and related convergence rate results
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+Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
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+Regular variation of GARCH processes.
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+The efficiency of the estimators of the parameters in GARCH processes.
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+GARCH processes: structure and estimation
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+Generalized autoregressive conditional heteroscedasticity
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+Kalman Filtering with Random Coefficients and Contractions
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+Stationarity of GARCH processes and of some nonnegative time series
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+Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models
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+A multiplicative ergodic theorem for Lipschitz maps
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+GARCH models without positivity constraints: exponential or log GARCH?
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+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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+On the invertibility of time series models
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+MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH  MODELS
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+ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
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+Subadditive ergodic theory
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+Q3713274
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+Stochastic volatility models with possible extremal clustering
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
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+Complete convergence for \(\alpha{}\)-mixing sequences
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+Estimation in conditionally heteroscedatic time series models.
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+Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
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+Whittle estimation of EGARCH and other exponential volatility models
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