Pages that link to "Item:Q719379"

The following pages link to Stationarity and geometric ergodicity of BEKK multivariate GARCH models (Q719379):

Displaying 32 items.

• Tail risk inference via expectiles in heavy-tailed time series (Q135350) (← links)
• Functional delta-method for the bootstrap of quasi-Hadamard differentiable functionals (Q286218) (← links)
• Tests for conditional ellipticity in multivariate GARCH models (Q503569) (← links)
• On the tail behavior of a class of multivariate conditionally heteroskedastic processes (Q726124) (← links)
• Model identification using the efficient determination criterion (Q739604) (← links)
• A scalar dynamic conditional correlation model: structure and estimation (Q1989915) (← links)
• A justification of conditional confidence intervals (Q2044389) (← links)
• Identification of structural multivariate GARCH models (Q2116335) (← links)
• Multivariate hyper-rotated GARCH-BEKK (Q2151746) (← links)
• Geometric ergodicity of affine processes on cones (Q2182630) (← links)
• Diversification benefits in the cryptocurrency market under mild explosivity (Q2239881) (← links)
• An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns (Q2374397) (← links)
• Asymmetric volatility impulse response functions (Q2681836) (← links)
• Realized BEKK-CAW models (Q2693372) (← links)
• TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS (Q2801995) (← links)
• ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS (Q2845022) (← links)
• Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models (Q4997698) (← links)
• A stochastic recurrence equations approach for score driven correlation models (Q5034245) (← links)
• LEAST SQUARES AND IVX LIMIT THEORY IN SYSTEMS OF PREDICTIVE REGRESSIONS WITH GARCH INNOVATIONS (Q5051517) (← links)
• CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH (Q5065457) (← links)
• Time series models for realized covariance matrices based on the matrix-F distribution (Q5066772) (← links)
• Geometric ergodicity of the multivariate COGARCH(1,1) process (Q5086715) (← links)
• MINIMUM HELLINGER DISTANCE ESTIMATION OF MULTIVARIATE GARCH PROCESSES (Q5204686) (← links)
• ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS (Q5349009) (← links)
• Statistical Inference for Expectile‐based Risk Measures (Q5738835) (← links)
• High-dimensional penalized arch processes (Q5861049) (← links)
• Testing the martingale difference hypothesis in high dimension (Q6108287) (← links)
• Optimal covariance matrix estimation for high-dimensional noise in high-frequency data (Q6150511) (← links)
• Central limit theorems for high dimensional dependent data (Q6178582) (← links)
• Moment inequalities for mixing long-span high-frequency data and strongly consistent estimation of OU integrated diffusion process (Q6498642) (← links)
• Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter (Q6620929) (← links)
• Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models (Q6626310) (← links)