Pages that link to "Item:Q290965"

The following pages link to Estimation and tests for power-transformed and threshold GARCH models (Q290965):

Displaying 32 items.

• On the tail index inference for heavy-tailed GARCH-type innovations (Q263253) (← links)
• Inference in nonstationary asymmetric GARCH models (Q385779) (← links)
• Asymmetric GARCH processes featuring both threshold effect and bilinear structure (Q419142) (← links)
• On the probabilistic structure of power threshold generalized ARCH stochastic processes (Q449026) (← links)
• Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models (Q477106) (← links)
• Offline and online weighted least squares estimation of nonstationary power ARCH processes (Q634578) (← links)
• Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes (Q710816) (← links)
• A note on portmanteau tests for conditional heteroscedastistic models (Q777693) (← links)
• Persistent-threshold-GARCH processes: model and application (Q1012221) (← links)
• Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations (Q1044011) (← links)
• Semiparametric efficient adaptive estimation of the GJR-GARCH model (Q1756033) (← links)
• Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients (Q2059106) (← links)
• Estimation of multivariate asymmetric power GARCH models (Q2079614) (← links)
• Hybrid quantile estimation for asymmetric power GARCH models (Q2116338) (← links)
• A dynamic Markov regime-switching asymmetric GARCH model and its cumulative impulse response function (Q2138226) (← links)
• Daily nonparametric ARCH(1) model estimation using intraday high frequency data (Q2144835) (← links)
• Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model (Q2236868) (← links)
• Test for tail index constancy of GARCH innovations based on conditional volatility (Q2317888) (← links)
• Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes (Q2343638) (← links)
• Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models (Q2454005) (← links)
• Bayesian analysis of periodic asymmetric power GARCH models (Q2697099) (← links)
• Outliers and misleading leverage effect in asymmetric GARCH-type models (Q2699591) (← links)
• On the Distribution Estimation of Power Threshold Garch Processes (Q2817307) (← links)
• Quantile Regression for Location‐Scale Time Series Models with Conditional Heteroscedasticity (Q2821474) (← links)
• Smoothed empirical likelihood for GARCH models with heavy-tailed errors (Q2834728) (← links)
• Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameters (Q2914954) (← links)
• PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS (Q3108567) (← links)
• QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS (Q3224041) (← links)
• Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes (Q3396477) (← links)
• Asymmetric linear double autoregression (Q5095288) (← links)
• A new generalized exponentially weighted moving average quantile model and its statistical inference (Q6090552) (← links)
• Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series (Q6135354) (← links)