Pages that link to "Item:Q1766073"
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The following pages link to Regular variation of GARCH processes. (Q1766073):
Displayed 50 items.
- Testing equality of spectral densities using randomization techniques (Q2348723) (← links)
- Stochastic volatility models with possible extremal clustering (Q2435218) (← 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)
- A Fourier analysis of extreme events (Q2448713) (← links)
- Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time (Q2453866) (← links)
- Copulas: Tales and facts (with discussion) (Q2463697) (← links)
- \(\mathrm{GARCH}(1,1)\) process can have arbitrarily heavy power tails (Q2471670) (← links)
- Extreme value theory for space-time processes with heavy-tailed distributions (Q2476290) (← links)
- On the existence of some ARCH\((\infty)\)processes (Q2483465) (← links)
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters (Q2493561) (← links)
- Functional large deviations for multivariate regularly varying random walks (Q2496504) (← links)
- On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process (Q2497786) (← links)
- Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models (Q2500446) (← links)
- Statistical inference for time-varying ARCH processes (Q2500447) (← links)
- On functional limits of short- and long-memory linear processes with GARCH(1,1) noises (Q2512843) (← links)
- Robust estimation and inference for heavy tailed GARCH (Q2515512) (← links)
- Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations (Q2571701) (← links)
- Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE (Q2691780) (← links)
- Bayesian analysis of periodic asymmetric power GARCH models (Q2697099) (← links)
- TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS (Q2801995) (← links)
- Toward a Copula Theory for Multivariate Regular Variation (Q2849531) (← links)
- Least tail-trimmed squares for infinite variance autoregressions (Q2852489) (← links)
- Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model (Q2868871) (← links)
- Risk Measures and Multivariate Extensions of Breiman's Theorem (Q2897148) (← 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)
- Nonparametric estimation for dependent data (Q3106417) (← links)
- Tail behavior of multivariate lévy-driven mixed moving average processes and supOU Stochastic Volatility Models (Q3111058) (← links)
- Risk in a Large Claims Insurance Market with Bipartite Graph Structure (Q3178764) (← links)
- Regular Variation of Infinite Series of Processes with Random Coefficients (Q3191887) (← links)
- QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS (Q3224041) (← links)
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS (Q3375346) (← links)
- Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions (Q3402049) (← links)
- MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS (Q3408521) (← links)
- ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES (Q3408523) (← links)
- Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes (Q3417684) (← links)
- On some nonstationary, nonlinear random processes and their stationary approximations (Q3419861) (← links)
- ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES (Q3450350) (← links)
- A NONPARAMETRIC ESTIMATOR FOR THE COVARIANCE FUNCTION OF FUNCTIONAL DATA (Q3465607) (← links)
- Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models (Q3505317) (← links)
- Stability of nonlinear AR-GARCH models (Q3552833) (← links)
- Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models (Q3590747) (← links)
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS (Q3632419) (← links)
- US stock returns: are there seasons of excesses? (Q4554515) (← links)
- On Extremal Index of max-stable stationary processes (Q4578299) (← links)
- Conditional risk measures in a bipartite market structure (Q4583596) (← links)
- Componentwise different tail solutions for bivariate stochastic recurrence equations with application to ${\rm GARCH}(1,1)$ processes (Q4614245) (← links)
- SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE (Q4653562) (← links)
- Joint exceedances of the ARCH process (Q4668009) (← links)