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 36 items.
- Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes (Q605036) (← links)
- The extremogram: a correlogram for extreme events (Q605880) (← links)
- Regular variation of order 1 nonlinear AR-ARCH models (Q886112) (← links)
- Convergence to Lévy stable processes under some weak dependence conditions (Q988675) (← links)
- Estimating the multivariate extremal index function (Q1002535) (← links)
- Subsampling tests for the mean change point with heavy-tailed innovations (Q1013151) (← links)
- Regularly varying multivariate time series (Q1016605) (← links)
- Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations (Q1021853) (← links)
- Break detection in the covariance structure of multivariate time series models (Q1043722) (← links)
- Convergence of point processes with weakly dependent points (Q1047155) (← links)
- The sample ACF of a simple bilinear process (Q1613623) (← links)
- Whittle estimation in a heavy-tailed GARCH(1,1) model. (Q1766031) (← links)
- Regular variation of GARCH processes. (Q1766073) (← links)
- Strongly consistent nonparametric forecasting and regression for stationary ergodic sequences. (Q1808834) (← links)
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process. (Q1848834) (← links)
- Empirical process of the squared residuals of an ARCH sequence (Q1848867) (← links)
- A model for long memory conditional heteroscedasticity. (Q1872488) (← links)
- The supremum of a negative drift random walk with dependent heavy-tailed steps. (Q1872494) (← links)
- Serial dependence in ARCH-models as measured by tail dependence coefficients (Q2271709) (← links)
- Characterizations and examples of hidden regular variation (Q2488443) (← links)
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters (Q2493561) (← links)
- Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations (Q2571701) (← links)
- Asymptotics of regressions with stationary and nonstationary residuals. (Q2574563) (← links)
- Estimation and Asymptotic Inference in the AR-ARCH Model (Q3086362) (← links)
- The Extremal Dependence Measure and Asymptotic Independence (Q3157856) (← links)
- A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares (Q3603204) (← links)
- LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS (Q4817431) (← links)
- 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)
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS (Q5187620) (← 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)