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From MaRDI portal
- volatility proxy model 2022-12-13 Paper A factor-GARCH model for high dimensional volatilities 2022-07-15 Paper Daily nonparametric ARCH(1) model estimation...10 bytes (16 words) - 11:21, 11 December 2023
- mixture GARCH models 2009-06-12 Paper Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models 2008-01-09...10 bytes (18 words) - 04:16, 13 December 2023
- MEDIAN OF ERRORS IN AN ARMA–GARCH MODEL 2022-06-17 Paper LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise 2022-03-16 Paper...10 bytes (17 words) - 19:30, 9 December 2023
- Paper Asymptotics for parametric GARCH-in-mean models 2016-09-06 Paper Non-negativity conditions for the hyperbolic GARCH model 2016-08-04 Paper On the Transmission...10 bytes (16 words) - 01:00, 11 December 2023
- binomial mixture integer-valued GARCH model 2018-06-12 Paper On change-point detection in volatile series using GARCH models 2017-10-12 Paper https://portal...10 bytes (18 words) - 18:08, 11 December 2023
- ARMA Models with GARCH in Mean Effects 2001-12-12 Paper The second moment and the autocovariance function of the squared errors of the GARCH model 1999-01-01...10 bytes (16 words) - 03:17, 13 December 2023
- theorem for the multivariate MS-ARMA-GARCH model 2015-05-19 Paper Continuous Time Approximations to GARCH(1, 1)-Family Models and Their Limiting Properties 2015-02-12...10 bytes (16 words) - 19:03, 9 December 2023
- of multivariate asymmetric power GARCH model 2023-08-22 Paper Estimation of multivariate asymmetric power GARCH models 2022-09-30 Paper Portmanteau test...10 bytes (16 words) - 23:05, 24 September 2023
- bivariate Poisson integer-valued GARCH model 2021-05-25 Paper A generalized mixture integer-valued GARCH model 2021-01-22 Paper Self-excited hysteretic negative...10 bytes (16 words) - 05:59, 7 October 2023
- autoregressive model 2022-09-14 Paper A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model 2022-06-08 Paper...10 bytes (17 words) - 16:07, 10 December 2023
- asymptotic theory for multivariate GARCH models 2009-09-28 Paper ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL 2009-06-11 Paper A model selection method for S‐estimation...10 bytes (16 words) - 10:00, 6 October 2023
- A Component GARCH Model with Time Varying Weights 2010-07-02 Paper Modelling asymmetric volatility dynamics by multivariate BL-GARCH models 2009-11-23 Paper...10 bytes (17 words) - 20:56, 21 September 2023
- BEKK GARCH models 2023-03-13 Paper Parallel Constrained Hamiltonian Monte Carlo for BEKK Model Comparison 2020-11-10 Paper Copula multivariate GARCH model...10 bytes (16 words) - 10:24, 6 October 2023
- CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE 2005-10-18 Paper MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS 2003-05-18...10 bytes (16 words) - 13:42, 24 September 2023
- regime-switching GARCH model with an application to global stock market and real estate equity returns 2023-03-30 Paper Stable mixture GARCH models 2017-05-12...10 bytes (16 words) - 18:51, 6 October 2023
- structural breaks in GARCH models 2014-04-14 Paper Bayesian semiparametric multivariate GARCH modeling 2014-04-04 Paper Can GARCH Models Capture Long-Range...10 bytes (18 words) - 02:59, 25 September 2023
- Paper Generalised long-memory GARCH models for intra-daily volatility 2009-06-02 Paper Periodic Long-Memory GARCH Models 2009-03-17 Paper Variance (Non)...10 bytes (17 words) - 17:00, 24 September 2023
- VECTOR ARMA-GARCH MODEL 2018-12-14 Paper ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS 2018-12-14 Paper TESTS FOR TAR MODELS VS. STAR...10 bytes (17 words) - 03:33, 7 October 2023
- Paper On asymptotic theory for multivariate GARCH models 2009-09-28 Paper ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL 2009-06-11 Paper Multivariate mixed normal...10 bytes (19 words) - 15:35, 10 December 2023
- of standard and switching-regime GARCH models 2005-09-29 Paper Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes 2005-02-21 Paper Efficient...10 bytes (18 words) - 17:32, 8 December 2023
