Pages that link to "Item:Q2868871"
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The following pages link to Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model (Q2868871):
Displaying 28 items.
- A CLT for martingale transforms with infinite variance (Q334015) (← links)
- Spillover dynamics for systemic risk measurement using spatial financial time series models (Q337776) (← links)
- Stationarity and ergodicity of univariate generalized autoregressive score processes (Q405328) (← links)
- Risk-parameter estimation in volatility models (Q473360) (← links)
- Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown (Q1659146) (← links)
- Goodness-of-fit tests for Log-GARCH and EGARCH models (Q1708360) (← links)
- Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model (Q1726177) (← links)
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models (Q1746551) (← links)
- Asymptotics of Cholesky GARCH models and time-varying conditional betas (Q1753058) (← links)
- Two classes of dynamic binomial integer-valued ARCH models (Q2032324) (← links)
- Optimal change-point estimation in time series (Q2054501) (← links)
- A new binomial autoregressive process with explanatory variables (Q2087513) (← links)
- Maximum likelihood estimation for score-driven models (Q2116342) (← links)
- A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation (Q2151994) (← links)
- A coupled component DCS-EGARCH model for intraday and overnight volatility (Q2190218) (← links)
- Commercial and residential mortgage defaults: spatial dependence with frailty (Q2323366) (← links)
- An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns (Q2374397) (← links)
- GARCH models without positivity constraints: exponential or log GARCH? (Q2448408) (← links)
- Outliers and misleading leverage effect in asymmetric GARCH-type models (Q2699591) (← links)
- QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES (Q4629565) (← links)
- On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model (Q5111848) (← links)
- AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL (Q5357395) (← links)
- On the invertibility of EGARCH(<i>p</i>, <i>q</i>) (Q5862502) (← links)
- Maximum likelihood estimation for non-stationary location models with mixture of normal distributions (Q6193025) (← links)
- Autoregressive conditional betas (Q6193071) (← links)
- Observation-driven filtering of time-varying parameters using moment conditions (Q6193078) (← links)
- Dynamic partial correlation models (Q6554221) (← links)
- Exponential-Type GARCH Models With Linear-in-Variance Risk Premium (Q6617781) (← links)
