Pages that link to "Item:Q1766073"
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The following pages link to Regular variation of GARCH processes. (Q1766073):
Displayed 50 items.
- 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)
- Subsampling the mean of heavy‐tailed dependent observations (Q4828178) (← links)
- Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances (Q4906509) (← links)
- TIME SERIES REGRESSION ON INTEGRATED CONTINUOUS-TIME PROCESSES WITH HEAVY AND LIGHT TAILS (Q4917229) (← links)
- ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA (Q4933584) (← links)
- Random coefficient autoregressive processes and the PUCK model with fluctuating potential (Q5006887) (← links)
- NONSTATIONARY LINEAR PROCESSES WITH INFINITE VARIANCE GARCH ERRORS (Q5012628) (← links)
- Extrema of multi-dimensional Gaussian processes over random intervals (Q5067212) (← links)
- TAIL DEPENDENCE OF OLS (Q5071685) (← links)
- On the estimation of extreme directional multivariate quantiles (Q5078040) (← links)
- TEST FOR ZERO MEDIAN OF ERRORS IN AN ARMA–GARCH MODEL (Q5081790) (← links)
- Ratio detections for change point in heavy tailed observations (Q5082994) (← links)
- Geometric ergodicity of the multivariate COGARCH(1,1) process (Q5086715) (← links)
- Heavy-tailed distributions, correlations, kurtosis and Taylor’s Law of fluctuation scaling (Q5161220) (← links)
- Markov tail chains (Q5176525) (← links)
- Tests for Volatility Shifts in Garch Against Long‐Range Dependence (Q5177968) (← links)
- MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS (Q5190049) (← links)
- Geometric Ergodicity and Moment Conditions for a Seasonal GARCH Model with Periodic Coefficients (Q5190582) (← links)
- The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process (Q5197406) (← links)
- TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS (Q5199499) (← links)
- General inverse problems for regular variation (Q5245627) (← links)
- How to model multivariate extremes if one must? (Q5313467) (← links)
- Lévy-Type Stochastic Integrals with Regularly Varying Tails (Q5316804) (← links)
- Extremes of autoregressive threshold processes (Q5320659) (← links)
- A Family of Markov‐Switching Garch Processes (Q5397964) (← links)
- NONPARAMETRIC INFERENCE FOR CONDITIONAL QUANTILES OF TIME SERIES (Q5403107) (← links)
- Fractional Moments of Solutions to Stochastic Recurrence Equations (Q5407021) (← 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)