Whittle estimation of EGARCH and other exponential volatility models (Q2628845): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Q4772049 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling and pricing long memory in stock market volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: The detection and estimation of long memory in stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time series: theory and methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment / rank
 
Normal rank
Property / cites work
 
Property / cites work: A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Central limit theorems for quadratic forms in random variables having long-range dependence / rank
 
Normal rank
Property / cites work
 
Property / cites work: WHITTLE ESTIMATION OF ARCH MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4275389 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the invertibility of time series models / rank
 
Normal rank
Property / cites work
 
Property / cites work: The asymptotic theory of linear time-series models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate Stochastic Variance Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: PREDICTION AND SIGNAL EXTRACTION OF STRONGLY DEPENDENT PROCESSES IN THE FREQUENCY DOMAIN / rank
 
Normal rank
Property / cites work
 
Property / cites work: A limit theory for long-range dependence and statistical inference on related models / rank
 
Normal rank
Property / cites work
 
Property / cites work: A central limit theorem for stationary processes and the parameter estimation of linear processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5624460 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On a Method of Calculation of Semi-Invariants / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Temporal aggregation of volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional Heteroskedasticity in Asset Returns: A New Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Alternative models for stationary stochastic processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Rates of convergence and optimal spectral bandwidth for long range dependence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation in conditionally heteroscedatic time series models. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: On estimation of the integrals of the fourth order cumulant spectral density / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5445942 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5725155 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3790504 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4107030 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Gaussian inference on certain long-range dependent volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4143689 / rank
 
Normal rank

Latest revision as of 07:12, 12 July 2024

scientific article
Language Label Description Also known as
English
Whittle estimation of EGARCH and other exponential volatility models
scientific article

    Statements

    Whittle estimation of EGARCH and other exponential volatility models (English)
    0 references
    0 references
    18 July 2016
    0 references
    EGARCH
    0 references
    GJR
    0 references
    stochastic volatility
    0 references
    Whittle estimation
    0 references
    asymptotics
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers