Pages that link to "Item:Q1858910"

The following pages link to Stationarity and the existence of moments of a family of GARCH processes. (Q1858910):

Displayed 50 items.

• An econometric analysis of asymmetric volatility: theory and application to patents (Q280248) ‎ (← links)
• Asymmetric GARCH processes featuring both threshold effect and bilinear structure (Q419142) ‎ (← links)
• On dynamics of volatilities in nonstationary GARCH models (Q467000) ‎ (← links)
• NM-QELE for ARMA-GARCH models with non-Gaussian innovations (Q534428) ‎ (← links)
• Semi- and nonparametric ARCH processes (Q609736) ‎ (← links)
• A note on Jarque-Bera normality test for ARMA-GARCH innovations (Q744734) ‎ (← links)
• Statistical inference for conditional quantiles in nonlinear time series models (Q888341) ‎ (← links)
• Inference in VARs with conditional heteroskedasticity of unknown form (Q898587) ‎ (← links)
• \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors (Q898600) ‎ (← links)
• Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk (Q929674) ‎ (← links)
• Multivariate volatility in environmental finance (Q929681) ‎ (← links)
• Portfolio single index (PSI) multivariate conditional and stochastic volatility models (Q929684) ‎ (← links)
• How has volatility in metals markets changed? (Q929691) ‎ (← links)
• Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach (Q929743) ‎ (← links)
• On the existence of higher-order moments of periodic GARCH models (Q958952) ‎ (← links)
• A double-threshold GARCH model of stock market and currency shocks on stock returns (Q960342) ‎ (← links)
• Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model (Q960349) ‎ (← links)
• Stationarity and geometric ergodicity of a class of nonlinear ARCH models (Q997428) ‎ (← links)
• Augmented GARCH sequences: Dependence structure and asymptotics (Q1002569) ‎ (← links)
• Modelling risk in agricultural finance: Application to the poultry industry in Taiwan (Q1005189) ‎ (← links)
• A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models (Q1019488) ‎ (← links)
• Modelling the asymmetric volatility of electronics patents in the USA. (Q1418619) ‎ (← links)
• Fat tails and asymmetry in financial volatility models. (Q1427747) ‎ (← links)
• Shifts in volatility driven by large stock market shocks (Q1657558) ‎ (← links)
• The fine-structure of volatility feedback. I: Multi-scale self-reflexivity (Q1782966) ‎ (← links)
• Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility (Q1927544) ‎ (← links)
• Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures (Q2227445) ‎ (← links)
• GFC-robust risk management under the Basel accord using extreme value methodologies (Q2227447) ‎ (← links)
• A detailed comparison of value at risk estimates (Q2227451) ‎ (← links)
• Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes (Q2270866) ‎ (← links)
• A stochastic dominance approach to financial risk management strategies (Q2347722) ‎ (← links)
• Could the jump diffusion technique enhance the effectiveness of futures hedging models? A reality test (Q2390405) ‎ (← links)
• Stability of random coefficient ARCH models and aggregation schemes (Q2439054) ‎ (← links)
• Asymptotic spectral theory for nonlinear time series (Q2456020) ‎ (← links)
• Comparative analysis of risk ratings for the East European region (Q2486189) ‎ (← links)
• Related commodity markets and conditional correlations (Q2486205) ‎ (← links)
• Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations (Q2486212) ‎ (← links)
• GARCH options via local risk minimization (Q2873537) ‎ (← links)
• LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES (Q2886971) ‎ (← links)
• Limit theory for a general class of GARCH models with just barely infinite variance (Q2930910) ‎ (← links)
• Irreducibility and continuity assumptions for positive operators with application to threshold GARCH time series models (Q2996569) ‎ (← links)
• A decision rule to minimize daily capital charges in forecasting value-at-risk (Q3065548) ‎ (← links)
• Univariate and Multivariate Value-at-Risk: Application and Implication in Energy Markets (Q3087577) ‎ (← links)
• Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments (Q3182771) ‎ (← links)
• Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility (Q3394105) ‎ (← 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)
• A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES (Q3408529) ‎ (← links)
• MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL (Q3551018) ‎ (← links)
• Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model (Q3566440) ‎ (← links)