Semiparametric inference in a GARCH-in-mean model (Q738173): Difference between revisions

@@ Property / cites work @@
+The efficiency of the estimators of the parameters in GARCH processes.
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Nonparametric statistics for stochastic processes
@@ Property / cites work: Nonparametric statistics for stochastic processes / rank @@
+Normal rank
@@ Property / cites work @@
+Martingale Central Limit Theorems
@@ Property / cites work: Martingale Central Limit Theorems / rank @@
+Normal rank
@@ Property / cites work @@
+Joint and marginal specification tests for conditional mean and variance models
+Normal rank
@@ Property / cites work @@
+Time series properties of ARCH processes with persistent covariates
+Normal rank
@@ Property / cites work @@
+Finite Sample Theory of QMLEs in ARCH Models with an Exogenous Variable in the Conditional Variance Equation
+Normal rank
@@ Property / cites work @@
+Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
+Normal rank
@@ Property / cites work @@
+ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
@@ Property / cites work: ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH / rank @@
+Normal rank
@@ Property / cites work @@
+``Student'' and small-sample theory.
@@ Property / cites work: ``Student'' and small-sample theory. / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation and Testing Stationarity for Double-Autoregressive Models
+Normal rank
@@ Property / cites work @@
+Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
+Normal rank
@@ Property / cites work @@
+An Intertemporal Capital Asset Pricing Model
@@ Property / cites work: An Intertemporal Capital Asset Pricing Model / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Profile likelihood and conditionally parametric models
+Normal rank
@@ Property / cites work @@
+Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
+Normal rank
@@ Property / cites work @@
+Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models
+Normal rank
@@ Property / cites work @@
+Semiparametric efficient adaptive estimation of asymmetric GARCH models
+Normal rank