APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS (Q2810372): Difference between revisions

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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
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+Generalized autoregressive conditional heteroscedasticity
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+MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC  VOLATILITY MODELS
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+Least absolute deviation estimation for regression with ARMA errors
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+Augmented GARCH\((p,q)\) process and its diffusion limit
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Nonlinear time series. Nonparametric and parametric methods
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+STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL  LIMIT THEOREM
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+Nonparametric model checks for time series
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+NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE  GARCH(<i>r</i>,<i>s</i>) AND ASYMMETRIC POWER  GARCH(<i>r</i>,<i>s</i>) MODELS
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+Local Polynomial Estimation of Regression Functions for Mixing Processes
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+Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
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+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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+Automatic Lag Selection in Covariance Matrix Estimation
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+Least absolute deviations estimation for ARCH and GARCH models
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+Convergence of stochastic processes
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+Testing for multivariate volatility functions using minimum volume sets and inverse regression
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+Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
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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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+Nonparametric model checks for regression
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