TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS (Q3409062): Difference between revisions

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+On the Bickel-Rosenblatt test for first-order autoregressive models
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+ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
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+Generalized autoregressive conditional heteroscedasticity
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+The efficiency of the estimators of the parameters in GARCH processes.
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+Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
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+Asymptotics of the \(L_p\)-norms of density estimators in the first-order autoregressive models.
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+\(L_{p}\)-estimators in ARCH models
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+Empirical process of the squared residuals of an ARCH sequence
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+Efficient estimation in semiparametric GARCH models
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+Central limit theorems for \(L_ p\)-norms of density estimators
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+Stationarity of GARCH processes and of some nonnegative time series
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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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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+Maximally dependent random variables
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+Publication:3409062