Pages that link to "Item:Q1807140"
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The following pages link to The sample autocorrelations of heavy-tailed processes with applications to ARCH (Q1807140):
Displayed 47 items.
- On the sample autocovariance of a Lévy driven moving average process when sampled at a renewal sequence (Q2317312) (← links)
- A multivariate functional limit theorem in weak \(M_1\) topology (Q2346974) (← links)
- Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model (Q2347462) (← links)
- Analytically pricing volatility swaps under stochastic volatility (Q2351082) (← links)
- Clustering of time series using quantile autocovariances (Q2418275) (← links)
- Stochastic volatility models with possible extremal clustering (Q2435218) (← links)
- Temporal aggregation of volatility models (Q2439047) (← links)
- The convex hull of consecutive pairs of observations from some time series models (Q2443887) (← links)
- Measures of serial extremal dependence and their estimation (Q2447645) (← links)
- Characterizations and examples of hidden regular variation (Q2488443) (← links)
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters (Q2493561) (← links)
- On functional limits of short- and long-memory linear processes with GARCH(1,1) noises (Q2512843) (← links)
- Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations (Q2571701) (← links)
- Asymptotics of regressions with stationary and nonstationary residuals. (Q2574563) (← links)
- Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE (Q2691780) (← links)
- TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS (Q2801995) (← links)
- TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD (Q2890704) (← links)
- Auto-tail Dependence Coefficients for Stationary Solutions of Linear Stochastic Recurrence Equations and for GARCH(1,1) (Q2904885) (← links)
- Limit theory for a general class of GARCH models with just barely infinite variance (Q2930910) (← links)
- Measuring nonlinear dependence in time-series, a distance correlation approach (Q2931592) (← links)
- Detection and estimation of structural change in heavy-tailed sequence (Q2980141) (← links)
- Estimation and Asymptotic Inference in the AR-ARCH Model (Q3086362) (← links)
- The Extremal Dependence Measure and Asymptotic Independence (Q3157856) (← links)
- ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES (Q3450350) (← links)
- A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares (Q3603204) (← links)
- A folding methodology for multivariate extremes: estimation of the spectral probability measure and actuarial applications (Q4576914) (← links)
- LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS (Q4817431) (← links)
- Power variation and stochastic volatility: a review and some new results (Q4822456) (← links)
- On the foundations of multivariate heavy-tail analysis (Q4822461) (← links)
- Subsampling the mean of heavy‐tailed dependent observations (Q4828178) (← links)
- Large sample theory for statistics of stable moving averages (Q4831096) (← links)
- Asymptotic properties for the estimators in heteroscedastic semiparametric EV models with <i>α</i>-mixing errors (Q4987230) (← links)
- NONSTATIONARY LINEAR PROCESSES WITH INFINITE VARIANCE GARCH ERRORS (Q5012628) (← links)
- Heavy-tailed distributions, correlations, kurtosis and Taylor’s Law of fluctuation scaling (Q5161220) (← links)
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS (Q5187620) (← links)
- TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS (Q5199499) (← links)
- AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL (Q5357395) (← links)
- A cluster-limit theorem for infinitely divisible point processes (Q5402575) (← links)
- Contemporaneous aggregation of GARCH processes (Q5430498) (← links)
- A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL (Q5438206) (← links)
- Extremes of regularly varying Lévy-driven mixed moving average processes (Q5475378) (← links)
- Limit Theorems for Moving Averages with Random Coefficients and Heavy-Tailed Noise (Q5489003) (← links)
- Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors (Q5860900) (← links)
- Robust inference in conditionally heteroskedastic autoregressions (Q5860968) (← links)
- Where does the tail begin? An approach based on scoring rules (Q5860997) (← links)
- Multitype branching processes with immigration in random environment, and polling systems (Q5890531) (← links)
- Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors (Q6170139) (← links)