The following pages link to A Class of Nonlinear Arch Models (Q3988473):
Displaying 50 items.
- MIDAS Regressions: Further Results and New Directions (Q130725) (← links)
- On the use of non-linear transformations in stochastic volatility models (Q257523) (← links)
- On the tail index inference for heavy-tailed GARCH-type innovations (Q263253) (← links)
- Estimation and tests for power-transformed and threshold GARCH models (Q290965) (← links)
- Inference in nonstationary asymmetric GARCH models (Q385779) (← links)
- Diagnostic checking for conditional heteroscedasticity models (Q625886) (← 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)
- Comparison of value-at-risk models using the MCS approach (Q736648) (← links)
- Inconsistency of the MLE and inference based on weighted LS for LARCH models (Q736696) (← links)
- On valuing participating life insurance contracts with conditional heteroscedasticity (Q928174) (← links)
- The autocorrelation structure of the Markov-switching asymmetric power GARCH process (Q945788) (← links)
- A class of nonlinear stochastic volatility models and its implications for pricing currency options (Q1010566) (← links)
- Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations (Q1044011) (← links)
- Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model (Q1185106) (← links)
- Augmented GARCH\((p,q)\) process and its diffusion limit (Q1362059) (← links)
- Geometric ergodicity of a general ARCH type model (Q1369769) (← links)
- Time variation of second moments from a noise trader/infection model (Q1390898) (← links)
- Arch model with Box-Cox transformed dependent variable (Q1593723) (← links)
- Stochastic model of financial markets reproducing scaling and memory in volatility return intervals (Q1619951) (← links)
- Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes (Q1771421) (← links)
- Chebyshev reduced basis function applied to option valuation (Q1789629) (← links)
- Entropy densities with an application to autoregressive conditional skewness and kurtosis. (Q1858911) (← links)
- Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form (Q1918144) (← links)
- Specification test for a linear regression model with ARCH process (Q1918165) (← links)
- Estimation of multivariate asymmetric power GARCH models (Q2079614) (← links)
- Hybrid quantile estimation for asymmetric power GARCH models (Q2116338) (← links)
- Test for tail index constancy of GARCH innovations based on conditional volatility (Q2317888) (← links)
- A data-dependent approach to modeling volatility in financial time series (Q2347550) (← links)
- Stock market contagion: a new approach (Q2416322) (← links)
- Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors (Q2467376) (← links)
- A conditional-SGT-VaR approach with alternative GARCH models (Q2480227) (← links)
- Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure. (Q2574642) (← links)
- Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models (Q2629585) (← links)
- A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS (Q2937712) (← links)
- Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes (Q3615085) (← links)
- Simulation and Estimation of the Meixner Distribution (Q3616251) (← links)
- A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS (Q4025279) (← links)
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY (Q4319856) (← links)
- Testing for conditional heteroscedasticity: some monte carlo results (Q4345966) (← links)
- Weak convergence and distributional assumptions for a general class of nonliner arch models (Q4355166) (← links)
- On testing for multivariate ARCH effects in vector time series models (Q4470644) (← links)
- DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS (Q4562549) (← links)
- GARCH model selection criteria (Q4647269) (← links)
- Parameter Estimation in Conditional Heteroscedastic Models (Q4707029) (← links)
- Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series (Q4912051) (← links)
- New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing (Q4916512) (← links)
- A nesting framework for Markov-switching GARCH modelling with an application to the German stock market (Q5001140) (← links)
- Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach (Q5026537) (← links)
- Asymptotics for semi-strong augmented GARCH(1,1) model (Q5046800) (← links)
