Pages that link to "Item:Q869981"
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The following pages link to Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach (Q869981):
Displaying 50 items.
- Modelling volatility by variance decomposition (Q71677) (← links)
- Parameter change test for autoregressive conditional duration models (Q287530) (← links)
- Asymptotics for parametric GARCH-in-mean models (Q308384) (← links)
- Statistical inference for nonparametric GARCH models (Q311986) (← links)
- Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency (Q367001) (← links)
- Stationarity and ergodicity of univariate generalized autoregressive score processes (Q405328) (← links)
- Risk-parameter estimation in volatility models (Q473360) (← links)
- Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach (Q488612) (← links)
- Inference and testing for structural change in general Poisson autoregressive models (Q491391) (← links)
- Estimation and testing linearity for non-linear mixed Poisson autoregressions (Q491400) (← links)
- Feasible optimum Godambe scores for a semi-parametric GARCH time series (Q508110) (← links)
- Conditional maximum likelihood estimation for a class of observation-driven time series models for count data (Q511583) (← links)
- Mixing properties of ARCH and time-varying ARCH processes (Q637105) (← links)
- Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes (Q710816) (← links)
- Stable limits for sums of dependent infinite variance random variables (Q718889) (← links)
- Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data (Q726598) (← links)
- Multivariate contemporaneous-threshold autoregressive models (Q737288) (← links)
- Semiparametric inference in a GARCH-in-mean model (Q738173) (← links)
- Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes (Q834361) (← links)
- Strong approximation for the sums of squares of augmented GARCH sequences (Q850764) (← links)
- Robust estimates for GARCH models (Q935425) (← links)
- Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models (Q990922) (← links)
- Minimum distance estimation of GARCH(1,1) models (Q1010531) (← links)
- Testing the equality of error distributions from \(k\) independent GARCH models (Q1012539) (← links)
- EGARCH models with fat tails, skewness and leverage (Q1623534) (← links)
- Minimum density power divergence estimator for Poisson autoregressive models (Q1623690) (← links)
- Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown (Q1659146) (← links)
- Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation (Q1660129) (← links)
- Entropy test and residual empirical process for autoregressive conditional duration models (Q1663317) (← links)
- Monitoring parameter change for time series models with conditional heteroscedasticity (Q1672861) (← links)
- Quasi-maximum likelihood estimator of Laplace \((1,1)\) for GARCH models (Q1698475) (← links)
- Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model (Q1726177) (← links)
- Detecting structural breaks in realized volatility (Q1727922) (← links)
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models (Q1746551) (← links)
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (Q1763105) (← links)
- Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes (Q1782687) (← links)
- Some recent theory for autoregressive count time series (Q1936528) (← links)
- Interval estimation of the tail index of a GARCH(1,1) model (Q1936534) (← links)
- Multiple breaks detection in general causal time series using penalized quasi-likelihood (Q1950823) (← links)
- Robust estimation for general integer-valued time series models (Q2027220) (← links)
- Asymptotic properties of the QMLE in a log-linear RealGARCH model with Gaussian errors (Q2029208) (← links)
- General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator (Q2044417) (← links)
- Sequential change point test in the presence of outliers: the density power divergence based approach (Q2044423) (← links)
- Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach (Q2044767) (← links)
- Asymptotic normality of the MLE in the level-effect ARCH model (Q2066488) (← links)
- Modeling and inference for multivariate time series of counts based on the INGARCH scheme (Q2084059) (← links)
- Markov switching quantile regression models with time-varying transition probabilities (Q2089025) (← links)
- Generalized autoregressive score models based on sinh-arcsinh distributions for time series analysis (Q2112713) (← links)
- A time-varying parameter model for local explosions (Q2116324) (← links)
- Maximum likelihood estimation for score-driven models (Q2116342) (← links)