Pages that link to "Item:Q265108"
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The following pages link to Neglecting parameter changes in GARCH models (Q265108):
Displayed 46 items.
- On the tail index inference for heavy-tailed GARCH-type innovations (Q263253) (← links)
- Modelling structural breaks, long memory and stock market volatility: an overview (Q265098) (← links)
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
- Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration (Q309158) (← links)
- On the origin of high persistence in GARCH-models (Q429135) (← links)
- Level changes in volatility models (Q470520) (← links)
- GARCH with omitted persistent covariate (Q485597) (← links)
- Powerful tests for structural changes in volatility (Q528175) (← links)
- An analysis of the flexibility of asymmetric power GARCH models (Q1010472) (← links)
- Detecting structural breaks in realized volatility (Q1727922) (← links)
- Long memory with Markov-switching GARCH (Q1934779) (← links)
- Randomised pseudolikelihood ratio change point estimator in GARCH models (Q1983368) (← links)
- Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals (Q2019875) (← links)
- Forecasting volatility using combination across estimation windows: an application to S\&P500 stock market index (Q2045524) (← links)
- Simultaneous inference for time-varying models (Q2116345) (← links)
- Forecasting volatility with time-varying coefficient regressions (Q2187983) (← links)
- Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation (Q2219432) (← links)
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach (Q2270553) (← links)
- Robust M-estimation of multivariate GARCH models (Q2445701) (← links)
- Power monotonicity in detecting volatility levels change (Q2446476) (← links)
- Spurious persistence in stochastic volatility (Q2451401) (← links)
- Quasi-maximum likelihood estimation for multiple volatility shifts (Q2452776) (← links)
- Sequential monitoring of minimum variance portfolio (Q2461273) (← links)
- Estimation and prediction of a non-constant volatility (Q2471733) (← links)
- The \(L^2\)-structures of standard and switching-regime GARCH models (Q2567232) (← links)
- Modeling covariance breakdowns in multivariate GARCH (Q2630346) (← links)
- Long memory and regime switching in the stochastic volatility modelling (Q2678633) (← links)
- Testing constancy of unconditional variance in volatility models by misspecification and specification tests (Q2691672) (← links)
- Flexible Fourier form for volatility breaks (Q2691729) (← links)
- Time-varying asymmetry and tail thickness in long series of daily financial returns (Q2691782) (← links)
- Modeling time-varying parameters using artificial neural networks: a GARCH illustration (Q2700575) (← links)
- Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models (Q3161675) (← links)
- TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS (Q3225033) (← links)
- Modeling and inference for counts time series based on zero-inflated exponential family INGARCH models (Q3389597) (← links)
- Realized Volatility: A Review (Q3539862) (← links)
- Regime-switching stochastic volatility model: estimation and calibration to VIX options (Q4610208) (← links)
- Test for parameter change in the presence of outliers: the density power divergence-based approach (Q5065268) (← links)
- Forecasting with GARCH models under structural breaks: An approach based on combinations across estimation windows (Q5083880) (← links)
- Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non‐stationary Volatility (Q5177951) (← links)
- Tests for Volatility Shifts in Garch Against Long‐Range Dependence (Q5177968) (← links)
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model (Q5212061) (← links)
- Change points in heavy‐tailed multivariate time series: Methods using precision matrices (Q5213968) (← links)
- A regime-switching Heston model for VIX and S&P 500 implied volatilities (Q5247236) (← links)
- DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS (Q5741626) (← links)
- Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation (Q5860951) (← links)
- Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models (Q6108257) (← links)