Pages that link to "Item:Q1126491"
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The following pages link to Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491):
Displaying 50 items.
- Modelling volatility by variance decomposition (Q71677) (← links)
- A semiparametric two-step estimator in a multivariate long memory model (Q145472) (← links)
- Misspecification tests for periodic long memory GARCH models (Q257484) (← links)
- Behaviour of skewness, kurtosis and normality tests in long memory data (Q257542) (← links)
- Fractionally integrated time varying GARCH model (Q257572) (← links)
- Neglecting parameter changes in GARCH models (Q265108) (← links)
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models (Q269236) (← links)
- A goodness-of-fit test for ARCH(\(\infty\)) models (Q289186) (← links)
- A multiple indicators model for volatility using intra-daily data (Q292000) (← links)
- Consistent ranking of volatility models (Q292007) (← links)
- Breaks and persistency: macroeconomic causes of stock market volatility (Q292011) (← links)
- Time series properties of ARCH processes with persistent covariates (Q299219) (← links)
- Out of sample forecasts of quadratic variation (Q299250) (← links)
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
- Improving the value at risk forecasts: theory and evidence from the financial crisis (Q310964) (← links)
- Goodness of fit assessment for a fractal model of stock markets (Q340460) (← links)
- Limit experiments of GARCH (Q408085) (← links)
- Long run behaviour of the autocovariance function of ARCH(\(\infty\)) models (Q429271) (← links)
- Efficient likelihood estimation in state space models (Q449965) (← links)
- Simultaneous confidence bands for Yule-Walker estimators and order selection (Q450047) (← links)
- Asymptotic theory for fractionally integrated asymmetric power ARCH models (Q452996) (← links)
- Estimation and pricing under long-memory stochastic volatility (Q470523) (← links)
- Multi-scale tests for serial correlation (Q473345) (← links)
- GARCH with omitted persistent covariate (Q485597) (← links)
- The functional central limit theorem and structural change test for the \(\mathrm{HAR}(\infty)\) model (Q485701) (← links)
- Financial power laws: empirical evidence, models, and mechanisms (Q508271) (← links)
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (Q515127) (← links)
- Does the Hurst index matter for option prices under fractional volatility? (Q525208) (← links)
- The method of simulated quantiles (Q528141) (← links)
- Kernel estimators of asymptotic variance for adaptive Markov chain Monte Carlo (Q548543) (← links)
- On approximate pseudo-maximum likelihood estimation for LARCH-processes (Q605885) (← links)
- Self-similarity in financial markets: a fractionally integrated approach (Q611788) (← links)
- Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models (Q626266) (← links)
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models (Q651027) (← links)
- Lambert \(W\) random variables -- a new family of generalized skewed distributions with applications to risk estimation (Q652384) (← links)
- Split invariance principles for stationary processes (Q653310) (← links)
- A wavelet-based approach for modelling exchange rates (Q719004) (← links)
- Non-negativity conditions for the hyperbolic GARCH model (Q736540) (← links)
- Measuring correlations of integrated but not cointegrated variables: a semiparametric approach (Q738027) (← links)
- Local polynomial Whittle estimation of perturbed fractional processes (Q738169) (← links)
- A closed formula for the Durbin-Levinson's algorithm in seasonal fractionally integrated pro\-ces\-ses (Q815480) (← links)
- Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility (Q827252) (← links)
- Realized volatility of index constituent stocks in Hong Kong (Q834300) (← links)
- Random recurrence equations and ruin in a Markov-dependent stochastic economic environment (Q835065) (← links)
- Volatility forecasting in the hang seng index using the GARCH approach (Q841853) (← links)
- Strong approximation for the sums of squares of augmented GARCH sequences (Q850764) (← links)
- A modified GARCH model with spells of shocks (Q853870) (← links)
- Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility (Q867688) (← links)
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach (Q869981) (← links)
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317) (← links)
