Pages that link to "Item:Q4807316"
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The following pages link to MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS (Q4807316):
Displayed 16 items.
- A family of autoregressive conditional duration models (Q269391) (← links)
- A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect (Q961822) (← links)
- Augmented GARCH sequences: Dependence structure and asymptotics (Q1002569) (← links)
- Accurate value-at-risk forecasting based on the normal-GARCH model (Q1010573) (← links)
- Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH (Q1023615) (← links)
- Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model (Q1726177) (← links)
- A coupled component DCS-EGARCH model for intraday and overnight volatility (Q2190218) (← links)
- Volatility filtering in estimation of kurtosis (and variance) (Q2283658) (← links)
- GARCH models without positivity constraints: exponential or log GARCH? (Q2448408) (← links)
- Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model (Q2868871) (← links)
- Generalized Variance-Ratio Tests in the Presence of Statistical Dependence (Q3192401) (← links)
- Moments of the ARMA–EGARCH model (Q4439303) (← links)
- Analysis of the correlation structure of square time series (Q4677028) (← links)
- Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model (Q5864358) (← links)
- Reconciling negative return skewness with positive time-varying risk premia (Q5867574) (← links)
- Appraisal of excess Kurtosis through outlier-modified GARCH-type models (Q6171876) (← links)
