Root-\(T\) consistent density estimation in GARCH models (Q5964750): Difference between revisions

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+Nonparametric Pricing of Interest Rate Derivative Securities
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+GARCH processes: structure and estimation
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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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+Optimal Rates of Convergence for Deconvolving a Density
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+Bootstrap with larger resample size for root-\(n\) consistent density estimation with time series data
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+Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
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+ADAPTIVE DENSITY ESTIMATION FOR GENERAL ARCH MODELS
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+Nonparametric density estimation from data with a mixture of Berkson and classical errors
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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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+Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
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+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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+Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models
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+Inference in Arch and Garch Models with Heavy-Tailed Errors
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+Properties of moments of a family of GARCH processes
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+The second moment and the autocovariance function of the squared errors of the GARCH model
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+PARAMETRIC SPECIFICATION TEST FOR NONLINEAR AUTOREGRESSIVE MODELS
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+Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–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 NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES
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+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
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+Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions
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+Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
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+Uniformly root-\(n\) consistent density estimators for weakly dependent invertible linear proc\-esses
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+Deconvolving kernel density estimators
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+Nonparametric volatility density estimation for discrete time models
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