Pages that link to "Item:Q869981"

The following pages link to Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach (Q869981):

Displaying 50 items.

• Estimating GARCH models: when to use what? (Q3499426) (← links)
• <i>M</i>-ESTIMATION IN GARCH MODELS (Q3551008) (← links)
• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL (Q3551018) (← links)
• ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS (Q3632419) (← links)
• Filtering With Heavy Tails (Q4975563) (← links)
• COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS (Q4993887) (← links)
• Asymptotic theory for QMLE for the real‐time GARCH(1,1) model (Q5012866) (← links)
• A stochastic recurrence equations approach for score driven correlation models (Q5034245) (← links)
• On the test of the volatility proxy model (Q5055216) (← links)
• General Hannan and Quinn criterion for common time series (Q5064935) (← links)
• Test of parameter changes in a class of observation-driven models for count time series (Q5077400) (← links)
• Quasi-maximum likelihood estimation of GARCH with student distributed noise (Q5082606) (← links)
• Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations (Q5083339) (← links)
• A Stationary Spatio‐Temporal GARCH Model (Q5111841) (← links)
• Adaptive Lasso for vector Multiplicative Error Models (Q5121495) (← links)
• Macroeconomic fundamentals, jump dynamics and expected volatility (Q5139235) (← links)
• On count time series prediction (Q5220723) (← links)
• STATISTICAL INFERENCE FOR MEASUREMENT EQUATION SELECTION IN THE LOG-REALGARCH MODEL (Q5243485) (← links)
• ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS (Q5247357) (← links)
• Time‐Varying Transition Probabilities for Markov Regime Switching Models (Q5346584) (← links)
• AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL (Q5357395) (← links)
• Pseudo‐likelihood estimation in ARCH models (Q5443826) (← links)
• A MAX-CORRELATION WHITE NOISE TEST FOR WEAKLY DEPENDENT TIME SERIES (Q5859558) (← links)
• Nonlinear autoregressive models with optimality properties (Q5860996) (← links)
• On the invertibility of EGARCH(<i>p</i>, <i>q</i>) (Q5862502) (← links)
• Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model (Q5864358) (← links)
• <i>QMLE</i> of periodic time-varying bilinear– <i>GARCH</i> models (Q5866068) (← links)
• Conditional maximum likelihood estimation in negative binomial INGARCH processes with known number of successes when the true parameter is at the boundary of the parameter space (Q5866080) (← links)
• Reconciling negative return skewness with positive time-varying risk premia (Q5867574) (← links)
• Monitoring parameter change for time series models with application to location-Scale heteroscedastic models (Q5879914) (← links)
• LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS (Q6078286) (← links)
• Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models (Q6090562) (← links)
• A dynamic conditional score model for the log correlation matrix (Q6090565) (← links)
• Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects (Q6090566) (← links)
• Semiparametric modeling of multiple quantiles (Q6090581) (← links)
• Bootstrap specification tests for dynamic conditional distribution models (Q6108286) (← links)
• Stochastic properties of nonlinear locally-nonstationary filters (Q6108342) (← links)
• Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions (Q6138242) (← links)
• Exponential control of the trajectories of iterated function systems with application to semi-strong GARCH models (Q6148890) (← links)
• A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application (Q6179146) (← links)
• Modelling circular time series (Q6190948) (← links)
• Maximum likelihood estimation for non-stationary location models with mixture of normal distributions (Q6193025) (← links)
• Autoregressive conditional betas (Q6193071) (← links)
• Bellman filtering and smoothing for state-space models (Q6193073) (← links)
• Observation-driven filtering of time-varying parameters using moment conditions (Q6193078) (← links)
• On estimation of nonparametric regression models with autoregressive and moving average errors (Q6197120) (← links)
• Test for conditional quantile change in general conditional heteroscedastic time series models (Q6197124) (← links)
• A robust Beveridge-Nelson decomposition using a score-driven approach with an application (Q6498748) (← links)
• Sequential change-point detection in time series models with conditional heteroscedasticity (Q6498751) (← links)
• Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution (Q6553225) (← links)