SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE (Q4653562): Difference between revisions

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+Generalized autoregressive conditional heteroscedasticity
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+Empirical Transform Estimation for Indexed Stochastic Models
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+Multivariate locally weighted least squares regression
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+Local polynomial fitting with long-memory, short-memory and antipersistent errors
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+An Effective Bandwidth Selector for Local Least Squares Regression
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+Local polynomial estimation with a FARIMA-GARCH error process
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+Regular variation of GARCH processes.
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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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+A Flexible and Fast Method for Automatic Smoothing
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Fitting time series models to nonstationary processes
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+On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
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+On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
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+The second moment and the autocovariance function of the squared errors of the GARCH model
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+Properties of the Autocorrelation Function of Squared Observations for Second-order Garch Processes Under Two Sets of Parameter Constraints
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+Nonparametric vector autoregression
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