Pages that link to "Item:Q2925319"
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The following pages link to Dynamic Models for Volatility and Heavy Tails (Q2925319):
Displaying 50 items.
- 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)
- Comparison of value-at-risk models using the MCS approach (Q736648) (← links)
- Portfolio management with targeted constant market volatility (Q1622522) (← links)
- Maximum likelihood estimates for positive valued dynamic score models; the DySco package (Q1623506) (← links)
- Semiparametric score driven volatility models (Q1659100) (← links)
- Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown (Q1659146) (← links)
- Score-driven dynamic patent count panel data models (Q1668650) (← links)
- Accounting for missing values in score-driven time-varying parameter models (Q1672734) (← links)
- Modeling maxima with autoregressive conditional Fréchet model (Q1739592) (← 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)
- DSGE models with observation-driven time-varying volatility (Q1788013) (← links)
- Simultaneous statistical inference in dynamic factor models: chi-square approximation and model-based bootstrap (Q1799812) (← links)
- Dynamic semiparametric models for expected shortfall (and value-at-risk) (Q2000869) (← links)
- Two classes of dynamic binomial integer-valued ARCH models (Q2032324) (← links)
- Clustering of arrivals in queueing systems: autoregressive conditional duration approach (Q2051192) (← links)
- Quantile-based fuzzy \(C\)-means clustering of multivariate time series: robust techniques (Q2092446) (← links)
- Generalized autoregressive score models based on sinh-arcsinh distributions for time series analysis (Q2112713) (← links)
- Maximum likelihood estimation for score-driven models (Q2116342) (← links)
- Risks in emerging markets equities: time-varying versus spatial risk analysis (Q2137671) (← links)
- A coupled component DCS-EGARCH model for intraday and overnight volatility (Q2190218) (← links)
- Incorporating overnight and intraday returns into multivariate GARCH volatility models (Q2190235) (← links)
- Modeling dynamic dependence between crude oil and natural gas return rates: a time-varying geometric copula approach (Q2222183) (← links)
- Model-based fuzzy time series clustering of conditional higher moments (Q2237183) (← links)
- Modeling time series when some observations are zero (Q2280595) (← links)
- Did long-memory of liquidity signal the European sovereign debt crisis? (Q2288945) (← links)
- Commercial and residential mortgage defaults: spatial dependence with frailty (Q2323366) (← links)
- Accelerating score-driven time series models (Q2330723) (← links)
- Dynamic expected shortfall: a spectral decomposition of tail risk across time horizons (Q2338545) (← links)
- Five different distributions for the Lee-Carter model of mortality forecasting: a comparison using GAS models (Q2364005) (← links)
- Missing observations in observation-driven time series models (Q2658759) (← links)
- The continuous-time limit of score-driven volatility models (Q2658765) (← links)
- New testing approaches for mean-variance predictability (Q2658802) (← links)
- Identification of seasonal effects in impulse responses using score-driven multivariate location models (Q2661317) (← links)
- Risk quantification and validation for Bitcoin (Q2661514) (← links)
- A new time-varying model for forecasting long-memory series (Q2664998) (← links)
- A simple joint model for returns, volatility and volatility of volatility (Q2682964) (← links)
- Outliers and misleading leverage effect in asymmetric GARCH-type models (Q2699591) (← links)
- Multivariate Markov-switching score-driven models: an application to the global crude oil market (Q2700546) (← links)
- Volatility Modeling with a Generalized<i>t</i>Distribution (Q2968461) (← links)
- (Q2971501) (← links)
- Decision-making in incomplete markets with ambiguity—a case study of a gas field acquisition (Q4555179) (← links)
- Stationarity and ergodicity of Markov switching positive conditional mean models (Q5095291) (← links)
- Inference for asymmetric exponentially weighted moving average models (Q5111784) (← links)
- Time‐series models with an EGB2 conditional distribution (Q5176863) (← links)
- Time‐Varying Transition Probabilities for Markov Regime Switching Models (Q5346584) (← links)
- LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS (Q6078286) (← links)
- A dynamic conditional score model for the log correlation matrix (Q6090565) (← links)
- Dynamic clustering of multivariate panel data (Q6090574) (← links)
