Pages that link to "Item:Q3632419"

The following pages link to ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS (Q3632419):

Displaying 29 items.

• Nonparametric estimation of conditional VaR and expected shortfall (Q299264) (← links)
• Kernel estimators of asymptotic variance for adaptive Markov chain Monte Carlo (Q548543) (← links)
• Mixing properties of ARCH and time-varying ARCH processes (Q637105) (← links)
• A white noise test under weak conditions (Q826992) (← links)
• On asymptotic theory for multivariate GARCH models (Q842922) (← links)
• Nonparametric density estimation for positive time series (Q962247) (← links)
• Nonlinear Poisson autoregression (Q1925990) (← links)
• Some recent theory for autoregressive count time series (Q1936528) (← links)
• Stationarity of generalized autoregressive moving average models (Q1952209) (← links)
• The pre-history of econophysics and the history of economics: Boltzmann versus the marginalists (Q2150929) (← links)
• On the large-sample behavior of two estimators of the conditional copula under serially dependent data (Q2338093) (← links)
• A martingale decomposition for quadratic forms of Markov chains (with applications) (Q2434497) (← links)
• Nonparametric estimation and inference for conditional density based Granger causality measures (Q2451777) (← links)
• An Alternative GARCH-in-Mean Model: Structure and Estimation (Q2839046) (← links)
• Estimation and Asymptotic Properties in Periodic<i>GARCH</i>(1, 1) Models (Q2864659) (← links)
• Nonparametric tests for conditional independence using conditional distributions (Q2934399) (← links)
• On stationarity and ergodicity of the bilinear model with applications to GARCH models (Q3077644) (← links)
• Estimation and Asymptotic Inference in the AR-ARCH Model (Q3086362) (← links)
• PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS (Q3108567) (← links)
• Analysing liquidity and absorption limits of electronic markets with volume durations (Q3518375) (← links)
• Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model (Q3566440) (← links)
• RISK MINIMIZATION FOR TIME SERIES BINARY CHOICE WITH VARIABLE SELECTION (Q4933585) (← links)
• SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS (Q5051521) (← links)
• A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model (Q5863653) (← links)
• Adaptive LASSO estimation for ARDL models with GARCH innovations (Q5864640) (← links)
• Monitoring parameter change for time series models with application to location-Scale heteroscedastic models (Q5879914) (← links)
• Comments on: Some recent theory for autoregressive count time series (Q5970628) (← links)
• Stationarity and ergodic properties for some observation-driven models in random environments (Q6180367) (← links)
• Test for conditional quantile change in general conditional heteroscedastic time series models (Q6197124) (← links)