Contemporaneous asymmetry in GARCH processes (Q5932779): Difference between revisions

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+Generalized autoregressive conditional heteroscedasticity
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+Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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+Stationarity of GARCH processes and of some nonnegative time series
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+Variance Function Estimation
@@ Property / cites work: Variance Function Estimation / rank @@
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+Temporal Aggregation of Garch Processes
@@ Property / cites work: Temporal Aggregation of Garch Processes / rank @@
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+THE GARCH OPTION PRICING MODEL
@@ Property / cites work: THE GARCH OPTION PRICING MODEL / rank @@
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Estimating linear representations of nonlinear processes
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+Stationarity of Gtarch Processes
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+Q4298738
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+ARCH models and financial applications
@@ Property / cites work: ARCH models and financial applications / rank @@
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+Autoregressive Conditional Density Estimation
@@ Property / cites work: Autoregressive Conditional Density Estimation / rank @@
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+Discrete time option pricing with flexible volatility estimation
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+A Class of Nonlinear Arch Models
@@ Property / cites work: A Class of Nonlinear Arch Models / rank @@
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+Q5613647
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+Option Pricing in ARCH-type Models
@@ Property / cites work: Option Pricing in ARCH-type Models / rank @@
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+On the general bilinear time series model
@@ Property / cites work: On the general bilinear time series model / rank @@
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+On a threshold autoregression with conditional heteroscedastic variances
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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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+ARCH models as diffusion approximations
@@ Property / cites work: ARCH models as diffusion approximations / rank @@
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
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+Marginalization and contemporaneous aggregation in multivariate GARCH processes
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+Quadratic ARCH Models
@@ Property / cites work: Quadratic ARCH Models / rank @@
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+Q5445942
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+Threshold heteroskedastic models
@@ Property / cites work: Threshold heteroskedastic models / rank @@
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