ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS (Q5247357): Difference between revisions

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+Statistical inference for time-varying ARCH processes
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+The stability of large random matrices and their products
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+Alternative models for stock price dynamics.
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+MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC  VOLATILITY MODELS
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+The stochastic equation <i>Y<sub>n</sub></i><sub>+1</sub>=<i>A<sub>n</sub>Y<sub>n</sub> + B<sub>n</sub></i> with stationary coefficients
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+Strict stationarity of generalized autoregressive processes
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+On square-integrability of an AR process with Markov switching
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+Modeling volatility persistence of speculative returns: a new approach
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+Stationarity of GARCH processes and of some nonnegative time series
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+The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series
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+Tightness of products of random matrices and stability of linear stochastic systems
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+Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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+Generalized autoregressive conditional heteroscedasticity
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+Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
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+The mixing property of bilinear and generalised random coefficient autoregressive models
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+Bilinear Markovian representation and bilinear models
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+On the measurability and consistency of minimum contrast estimates
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+The distribution of Lyapunov exponents: Exact results for random matrices
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+Asymptotic Behavior of Stochastic Systems Possessing Markovian Realizations
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+Products of Random Matrices
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+A Tour in the Asymptotic Theory of GARCH Estimation
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+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Augmented GARCH\((p,q)\) process and its diffusion limit
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+Predicting volatility: getting the most out of return data sampled at different frequencies
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+GARCH processes: structure and estimation
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+Normal rank
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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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+Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
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+High moment partial sum processes of residuals in GARCH models and their applications
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+On stationarity and ergodicity of the bilinear model with applications to GARCH models
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+Change-point estimation in ARCH models
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+Subadditive ergodic theory
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+Empirical process of the squared residuals of an ARCH sequence
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+Properties of moments of a family of GARCH processes
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+Efficient estimation of a multivariate multiplicative volatility model
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+The conditional autoregressive Wishart model for multivariate stock market volatility
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+Stochastic vector difference equations with stationary coefficients
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