Two‐Step Estimation for Time Varying Arch Models (Q5121011): Difference between revisions

@@ Property / DOI @@
-.1111/jtsa.12522
@@ Property / DOI: 10.1111/jtsa.12522 / rank @@
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@@ Property / author @@
-Qin Shao
@@ Property / author: Qin Shao / rank @@
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@@ Property / author @@
+Qin Shao
@@ Property / author: Qin Shao / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1111/jtsa.12522
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+W3004646247
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@@ Property / cites work @@
+Modelling volatility by variance decomposition
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+Generalized autoregressive conditional heteroscedasticity
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+Time series: theory and methods.
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+Augmented GARCH\((p,q)\) process and its diffusion limit
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+Statistical inference for time-varying ARCH processes
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+Temporal aggregation of multivariate GARCH processes
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+On asymptotic theory for multivariate GARCH models
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+ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
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+Efficient estimation of a multivariate multiplicative volatility model
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+On Asymptotic Theory for ARCH (∞) Models
@@ Property / cites work: On Asymptotic Theory for ARCH (∞) Models / rank @@
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+Inference in Arch and Garch Models with Heavy-Tailed Errors
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+SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL
@@ Property / cites work: SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL / rank @@
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+Least absolute deviations estimation for ARCH and GARCH models
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+Oracally Efficient Estimation and Consistent Model Selection for Auto-Regressive Moving Average Time Series with Trend
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+Parameter Stability and Semiparametric Inference in Time Varying Auto-Regressive Conditional Heteroscedasticity Models
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+Spline-backfitted kernel smoothing of nonlinear additive autoregression model
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+A semiparametric GARCH model for foreign exchange volatility
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@@ Property / DOI @@
+.1111/JTSA.12522
@@ Property / DOI: 10.1111/JTSA.12522 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5121011