Pages that link to "Item:Q3408521"

The following pages link to MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS (Q3408521):

Displaying 25 items.

• Tail risk inference via expectiles in heavy-tailed time series (Q135350) (← links)
• A class of stochastic unit-root bilinear processes: mixing properties and unit-root test (Q290958) (← links)
• Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root (Q295710) (← links)
• Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations (Q391793) (← links)
• On dynamics of volatilities in nonstationary GARCH models (Q467000) (← links)
• Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
• Moment condition tests for heavy tailed time series (Q528143) (← links)
• Mixing properties of ARCH and time-varying ARCH processes (Q637105) (← links)
• A note on the Bahadur representation of sample quantiles for \(\alpha \)-mixing random variables (Q766218) (← links)
• Bahadur representation of linear kernel quantile estimator of VaR under \(\alpha \)-mixing assumptions (Q963848) (← links)
• Stationarity and geometric ergodicity of a class of nonlinear ARCH models (Q997428) (← links)
• Probabilistic properties of periodic GARCH prosses (Q1009536) (← links)
• A GMM procedure for combining volatility forecasts (Q1023635) (← links)
• Feasible invertibility conditions and maximum likelihood estimation for observation-driven models (Q1746551) (← links)
• Empirical process theory for locally stationary processes (Q2073222) (← links)
• Nearly nonstationary processes under infinite variance GARCH noises (Q2160010) (← links)
• Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis (Q2348726) (← links)
• On functional limits of short- and long-memory linear processes with GARCH(1,1) noises (Q2512843) (← links)
• Missing observations in observation-driven time series models (Q2658759) (← links)
• Splines for Financial Volatility (Q2920261) (← links)
• Limit theory for a general class of GARCH models with just barely infinite variance (Q2930910) (← links)
• Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors (Q3007554) (← links)
• Mixing Conditions, Central Limit Theorems, and Invariance Principles: A Survey of the Literature with Some New Results on Heteroscedastic Sequences (Q3086360) (← links)
• Estimation and Asymptotic Inference in the AR-ARCH Model (Q3086362) (← links)
• Absolute regularity of semi-contractive GARCH-type processes (Q4968513) (← links)