Pages that link to "Item:Q1807140"
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The following pages link to The sample autocorrelations of heavy-tailed processes with applications to ARCH (Q1807140):
Displayed 20 items.
- Power variation and stochastic volatility: a review and some new results (Q4822456) (← links)
- On the foundations of multivariate heavy-tail analysis (Q4822461) (← links)
- Subsampling the mean of heavy‐tailed dependent observations (Q4828178) (← links)
- Large sample theory for statistics of stable moving averages (Q4831096) (← links)
- Asymptotic properties for the estimators in heteroscedastic semiparametric EV models with <i>α</i>-mixing errors (Q4987230) (← links)
- NONSTATIONARY LINEAR PROCESSES WITH INFINITE VARIANCE GARCH ERRORS (Q5012628) (← links)
- Heavy-tailed distributions, correlations, kurtosis and Taylor’s Law of fluctuation scaling (Q5161220) (← links)
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS (Q5187620) (← links)
- TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS (Q5199499) (← links)
- AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL (Q5357395) (← links)
- A cluster-limit theorem for infinitely divisible point processes (Q5402575) (← links)
- Contemporaneous aggregation of GARCH processes (Q5430498) (← 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)
- Limit Theorems for Moving Averages with Random Coefficients and Heavy-Tailed Noise (Q5489003) (← links)
- Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors (Q5860900) (← links)
- Robust inference in conditionally heteroskedastic autoregressions (Q5860968) (← links)
- Where does the tail begin? An approach based on scoring rules (Q5860997) (← links)
- Multitype branching processes with immigration in random environment, and polling systems (Q5890531) (← links)
- Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors (Q6170139) (← links)