Pages that link to "Item:Q869981"
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The following pages link to Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach (Q869981):
Displaying 50 items.
- Minimum density power divergence estimator for negative binomial integer-valued GARCH models (Q2141738) (← links)
- A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation (Q2151994) (← links)
- Functional weak limit theorem for a local empirical process of non-stationary time series and its application (Q2174984) (← links)
- Consistent model selection criteria and goodness-of-fit test for common time series models (Q2180087) (← links)
- A coupled component DCS-EGARCH model for intraday and overnight volatility (Q2190218) (← links)
- Bootstrap based probability forecasting in multiplicative error models (Q2224997) (← links)
- Simulated likelihood estimators for discretely observed jump-diffusions (Q2280574) (← links)
- Chasing volatility. A persistent multiplicative error model with jumps (Q2294516) (← links)
- Commercial and residential mortgage defaults: spatial dependence with frailty (Q2323366) (← links)
- On score vector- and residual-based CUSUM tests in ARMA-GARCH models (Q2324264) (← links)
- Modified residual CUSUM test for location-scale time series models with heteroscedasticity (Q2330526) (← links)
- Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models (Q2348337) (← links)
- An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns (Q2374397) (← links)
- M-estimation for periodic GARCH model with high-frequency data (Q2401782) (← links)
- Estimation in a class of nonlinear heteroscedastic time series models (Q2426824) (← links)
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters (Q2493561) (← links)
- Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models (Q2500446) (← links)
- Robust estimation and inference for heavy tailed GARCH (Q2515512) (← links)
- Robust \(M\)-estimate of GJR model with high frequency data (Q2516046) (← links)
- Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations (Q2571701) (← links)
- Strategic long-term financial risks: single risk factors (Q2574059) (← links)
- Whittle estimation of EGARCH and other exponential volatility models (Q2628845) (← links)
- Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero (Q2642035) (← links)
- Missing observations in observation-driven time series models (Q2658759) (← links)
- Identification of seasonal effects in impulse responses using score-driven multivariate location models (Q2661317) (← links)
- Quasi score-driven models (Q2697985) (← links)
- Outliers and misleading leverage effect in asymmetric GARCH-type models (Q2699591) (← links)
- Multivariate Markov-switching score-driven models: an application to the global crude oil market (Q2700546) (← links)
- APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS (Q2810372) (← links)
- Quantile Regression for Location‐Scale Time Series Models with Conditional Heteroscedasticity (Q2821474) (← links)
- Quasi-maximum Likelihood Estimation of Periodic Autoregressive, Conditionally Heteroscedastic Time Series (Q2833375) (← links)
- Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model (Q2868871) (← links)
- Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameters (Q2914954) (← links)
- Limit theory for a general class of GARCH models with just barely infinite variance (Q2930910) (← links)
- Parameter Change Test for Poisson Autoregressive Models (Q2932778) (← links)
- QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS (Q2933190) (← links)
- TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN (Q2936571) (← links)
- ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS (Q2936833) (← links)
- Volatility Modeling with a Generalized<i>t</i>Distribution (Q2968461) (← links)
- Bootstrap forecast intervals for asymmetric volatilities via EGARCH model (Q2979589) (← links)
- SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS (Q2986524) (← links)
- Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes (Q3077640) (← links)
- On stationarity and ergodicity of the bilinear model with applications to GARCH models (Q3077644) (← links)
- Autoregressive processes with data-driven regime switching (Q3077661) (← links)
- Estimation and Asymptotic Inference in the AR-ARCH Model (Q3086362) (← links)
- PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS (Q3108567) (← links)
- QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS (Q3224041) (← links)
- On some nonstationary, nonlinear random processes and their stationary approximations (Q3419861) (← links)
- A Model Specification Test For GARCH(1,1) Processes (Q3460672) (← links)
- Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified (Q3466886) (← links)
