Pages that link to "Item:Q2493561"

The following pages link to Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters (Q2493561):

Displaying 28 items.

• Estimation and tests for power-transformed and threshold GARCH models (Q290965) (← links)
• Risk-parameter estimation in volatility models (Q473360) (← links)
• Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models (Q515145) (← links)
• Stable limits for sums of dependent infinite variance random variables (Q718889) (← links)
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach (Q869981) (← links)
• Stability of block-triangular stationary random matrices (Q932116) (← links)
• Break detection in the covariance structure of multivariate time series models (Q1043722) (← links)
• A note on the QMLE limit theory in the non-stationary ARCH(1) model (Q1695669) (← links)
• Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model (Q1726827) (← links)
• Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model (Q1786796) (← links)
• Real time estimation of stochastic volatility processes (Q1931658) (← links)
• Interval estimation of the tail index of a GARCH(1,1) model (Q1936534) (← links)
• Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model (Q2347462) (← links)
• A note on the limit theory of a Dickey-Fuller unit root test with heavy tailed innovations (Q2405940) (← 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)
• TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS (Q2801995) (← links)
• APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS (Q2810372) (← links)
• Limit theory for a general class of GARCH models with just barely infinite variance (Q2930910) (← links)
• On the quasi-likelihood estimation for random coefficient autoregressions (Q3143485) (← links)
• Limit Theory for the QMLE of the GQARCH (1,1) Model (Q3458099) (← links)
• Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified (Q3466886) (← links)
• Estimating GARCH models: when to use what? (Q3499426) (← links)
• A note on stable limit theory for the OLSE with non usual rates and the heteroskedasticity robust Wald test (Q4638680) (← links)
• On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model (Q5111848) (← links)
• Asymmetric COGARCH processes (Q5245621) (← links)
• LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS (Q5411515) (← links)
• Volatility models for stylized facts of high‐frequency financial data (Q6135344) (← links)