Pages that link to "Item:Q2500446"

The following pages link to Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models (Q2500446):

Displaying 35 items.

• A goodness-of-fit test for ARCH(\(\infty\)) models (Q289186) (← links)
• Joint and marginal specification tests for conditional mean and variance models (Q291103) (← links)
• Bootstrap refinements for QML estimators of the GARCH(1,1) parameters (Q295411) (← links)
• Statistical inference for nonparametric GARCH models (Q311986) (← links)
• Asymptotic theory for fractionally integrated asymmetric power ARCH models (Q452996) (← links)
• On approximate pseudo-maximum likelihood estimation for LARCH-processes (Q605885) (← links)
• Mixing properties of ARCH and time-varying ARCH processes (Q637105) (← links)
• Non-negativity conditions for the hyperbolic GARCH model (Q736540) (← links)
• ARCH/GARCH with persistent covariate: asymptotic theory of MLE (Q738138) (← links)
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes (Q834361) (← links)
• A new hyperbolic GARCH model (Q888335) (← links)
• Dynamic factor multivariate GARCH model (Q1623556) (← links)
• Feasible invertibility conditions and maximum likelihood estimation for observation-driven models (Q1746551) (← links)
• Multiple breaks detection in general causal time series using penalized quasi-likelihood (Q1950823) (← links)
• Statistical inference for non-stationary GARCH(\(p\),\(q\)) models (Q1952010) (← links)
• M-estimate for the stationary hyperbolic GARCH models (Q2070660) (← links)
• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach (Q2270553) (← links)
• A group VISA algorithm for variable selection (Q2353367) (← links)
• Estimation in a class of nonlinear heteroscedastic time series models (Q2426824) (← links)
• On the existence of some ARCH\((\infty)\)processes (Q2483465) (← links)
• Whittle estimation of EGARCH and other exponential volatility models (Q2628845) (← links)
• Conditional asymmetry in power ARCH\((\infty)\) models (Q2697981) (← links)
• ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS (Q2845022) (← links)
• <i>M</i>-ESTIMATION IN GARCH MODELS (Q3551008) (← links)
• ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS (Q3577700) (← links)
• QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS (Q3632433) (← links)
• STATIONARY INTEGRATED ARCH(∞) AND AR(∞) PROCESSES WITH FINITE VARIANCE (Q4554600) (← links)
• Pseudo maximum likelihood estimation of the univariate GARCH (2,2) and asymptotic normality under dependent innovations (Q4605236) (← links)
• Ian McLeod’s Contribution to Time Series Analysis—A Tribute (Q4976474) (← links)
• ON MIXTURE MEMORY GARCH MODELS (Q5408110) (← links)
• Weak dependence for infinite ARCH-type bilinear models (Q5429696) (← links)
• A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models (Q5863649) (← links)
• Root-\(T\) consistent density estimation in GARCH models (Q5964750) (← links)
• A goodness-of-fit test for ARCH(\(\infty\)) models (Q5965496) (← links)
• LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS (Q6078286) (← links)