Pages that link to "Item:Q710816"

The following pages link to Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes (Q710816):

Displayed 24 items.

• Fourier-type estimation of the power GARCH model with stable-Paretian innovations (Q288103) ‎ (← links)
• Inference in nonstationary asymmetric GARCH models (Q385779) ‎ (← links)
• Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations (Q888322) ‎ (← links)
• Asymptotics of Cholesky GARCH models and time-varying conditional betas (Q1753058) ‎ (← links)
• Semiparametric efficient adaptive estimation of the GJR-GARCH model (Q1756033) ‎ (← links)
• Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients (Q2059106) ‎ (← links)
• QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes (Q2063074) ‎ (← links)
• Asymptotic normality of the MLE in the level-effect ARCH model (Q2066488) ‎ (← links)
• Estimation of multivariate asymmetric power GARCH models (Q2079614) ‎ (← links)
• Hybrid quantile estimation for asymmetric power GARCH models (Q2116338) ‎ (← links)
• Statistical inference for mixture GARCH models with financial application (Q2135925) ‎ (← links)
• Portmanteau test for the asymmetric power GARCH model when the power is unknown (Q2151687) ‎ (← links)
• Testing for local covariate trend effects in volatility models (Q2192311) ‎ (← links)
• Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes (Q2343638) ‎ (← links)
• Bayesian analysis of periodic asymmetric power GARCH models (Q2697099) ‎ (← links)
• Conditional asymmetry in power ARCH\((\infty)\) models (Q2697981) ‎ (← links)
• QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS (Q3224041) ‎ (← links)
• Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified (Q3466886) ‎ (← links)
• Risk forecasting in (T)GARCH models with uncorrelated dependent innovations (Q4555065) ‎ (← links)
• QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES (Q4629565) ‎ (← links)
• Necessary and sufficient conditions for the identifiability of observation‐driven models (Q4997691) ‎ (← links)
• Power periodic threshold GARCH model: Structure and estimation (Q5076941) ‎ (← links)
• LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS (Q6078286) ‎ (← links)
• A residual bootstrap for conditional value-at-risk (Q6193032) ‎ (← links)