Joint modeling of cointegration and conditional heteroscedasticity with applications (Q816593): Difference between revisions

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+Wai Keung Li
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+MaRDI publication profile
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@@ Property / cites work @@
+Estimation for Partially Nonstationary Multivariate Autoregressive Models
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+Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
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+Generalized autoregressive conditional heteroscedasticity
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+ARCH modeling in finance. A review of the theory and empirical evidence
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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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+Co-Integration and Error Correction: Representation, Estimation, and Testing
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+Statistical analysis of cointegration vectors
@@ Property / cites work: Statistical analysis of cointegration vectors / rank @@
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+Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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+Cointegration tests with conditional heteroskedasticity.
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+Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity
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+Q4290503
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+Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
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+ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
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+Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
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+MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT
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+Conditional Heteroscedastic Time Series Models
@@ Property / cites work: Conditional Heteroscedastic Time Series Models / rank @@
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+On a multivariate conditional heteroscedastic model
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+Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
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