A stochastic recurrence equations approach for score driven correlation models (Q5034245): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1080/07474938.2016.1139821
+Normal rank
@@ Property / OpenAlex ID @@
+W2307368074
@@ Property / OpenAlex ID: W2307368074 / 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 @@
+Stationarity and ergodicity of univariate generalized autoregressive score processes
+Normal rank
@@ Property / cites work @@
+Kalman Filtering with Random Coefficients and Contractions
+Normal rank
@@ Property / cites work @@
+Stationarity and geometric ergodicity of BEKK multivariate GARCH models
+Normal rank
@@ Property / cites work @@
+A characterization of the distributions that imply mean-variance utility functions
+Normal rank
@@ Property / cites work @@
+Iterated Random Functions
@@ Property / cites work: Iterated Random Functions / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic Models for Volatility and Heavy Tails
@@ Property / cites work: Dynamic Models for Volatility and Heavy Tails / rank @@
+Normal rank
@@ Property / cites work @@
+Filtering With Heavy Tails
@@ Property / cites work: Filtering With Heavy Tails / rank @@
+Normal rank
@@ Property / cites work @@
+Ergodic theorems. With a supplement by Antoine Brunel
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Copula–Based Models for Financial Time Series
@@ Property / cites work: Copula–Based Models for Financial Time Series / rank @@
+Normal rank
@@ Property / cites work @@
+Regime switching for dynamic correlations
@@ Property / cites work: Regime switching for dynamic correlations / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate GARCH Models
@@ Property / cites work: Multivariate GARCH Models / rank @@
+Normal rank
@@ Property / cites work @@
+Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
+Normal rank
@@ Property / cites work @@
+Asymptotic Statistics
@@ Property / cites work: Asymptotic Statistics / rank @@
+Normal rank
@@ Property / cites work @@
+Q4869532
@@ Property / cites work: Q4869532 / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theorems for iterated random functions
@@ Property / cites work: Limit theorems for iterated random functions / rank @@
+Normal rank