The following pages link to Threshold heteroskedastic models (Q5894596):
Displaying 38 items.
- Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling (Q2663482) (← links)
- A quantile function approach to the distribution of financial returns following TGARCH models (Q3389299) (← links)
- Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified (Q3466886) (← links)
- Stationarity of a family of GARCH processes (Q3653360) (← links)
- RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS (Q4554606) (← links)
- Risk forecasting in (T)GARCH models with uncorrelated dependent innovations (Q4555065) (← links)
- Modelling Asymmetric Behaviour in Time Series: Identification Through PSO (Q4561920) (← links)
- Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data (Q4619501) (← links)
- QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES (Q4629565) (← links)
- Two-step methods in VaR prediction and the importance of fat tails (Q4683039) (← links)
- A nesting framework for Markov-switching GARCH modelling with an application to the German stock market (Q5001140) (← links)
- Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data (Q5037041) (← links)
- Structural Clustering of Volatility Regimes for Dynamic Trading Strategies (Q5075241) (← links)
- Revisiting calendar effects in Malaysian finance stocks market: Evidence from threshold GARCH (TGARCH) model (Q5078426) (← links)
- Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations (Q5083339) (← links)
- Asymmetric linear double autoregression (Q5095288) (← links)
- Semi-parametric expected shortfall forecasting in financial markets (Q5106839) (← links)
- Volatility asymmetry in functional threshold GARCH model (Q5111779) (← links)
- Location Multiplicative Error Models with Quasi Maximum Likelihood Estimation (Q5111852) (← links)
- On double hysteretic heteroskedastic model (Q5222509) (← links)
- A Family of Markov‐Switching Garch Processes (Q5397964) (← links)
- Contemporaneous asymmetry in GARCH processes (Q5932779) (← links)
- A nonlinear autoregressive conditional duration model with applications to financial transaction data (Q5944505) (← links)
- Prioritizing of volatility models: a computational analysis using data envelopment analysis (Q6056289) (← links)
- Modeling and forecasting of stock index volatility with APARCH models under ordered restriction (Q6066209) (← links)
- Stochastic properties of nonlinear locally-nonstationary filters (Q6108342) (← links)
- Nonparametric tests for market timing ability using daily mutual fund returns (Q6109940) (← links)
- Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model (Q6134640) (← links)
- Stationarity and ergodic properties for some observation-driven models in random environments (Q6180367) (← links)
- Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference (Q6185132) (← links)
- Robust inference in AR-G/GARCH models under model uncertainty (Q6546439) (← links)
- Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH (Q6573446) (← links)
- A hybrid GARCH and deep learning method for volatility prediction (Q6577868) (← links)
- Iterative QML estimation for asymmetric stochastic volatility models (Q6596731) (← links)
- Semiparametric GARCH via Bayesian Model Averaging (Q6617768) (← links)
- Threshold network GARCH model (Q6636846) (← links)
- Statistical inference for GQARCH-Itô-jumps model based on the realized range volatility (Q6641048) (← links)
- Estimation of tail risk using extreme expectiles in linear GARCH models with heavy-tailed error (Q6654881) (← links)
