Pages that link to "Item:Q1185109"
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The following pages link to Stationarity of GARCH processes and of some nonnegative time series (Q1185109):
Displayed 50 items.
- On the tail index inference for heavy-tailed GARCH-type innovations (Q263253) (← links)
- An econometric analysis of asymmetric volatility: theory and application to patents (Q280248) (← links)
- Fourier-type estimation of the power GARCH model with stable-Paretian innovations (Q288103) (← links)
- Generalized R-estimators under conditional heteroscedasticity (Q289160) (← links)
- A goodness-of-fit test for ARCH(\(\infty\)) models (Q289186) (← links)
- Estimation and tests for power-transformed and threshold GARCH models (Q290965) (← links)
- Statistical inference for nonparametric GARCH models (Q311986) (← links)
- Non-stationary quasi-likelihood and asymptotic optimality (Q397244) (← links)
- A goodness-of-fit test for GARCH innovation density (Q434239) (← links)
- On the probabilistic structure of power threshold generalized ARCH stochastic processes (Q449026) (← links)
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models (Q451281) (← links)
- On dynamics of volatilities in nonstationary GARCH models (Q467000) (← links)
- Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
- Extremal memory of stochastic volatility with an application to tail shape inference (Q607175) (← links)
- Semi- and nonparametric ARCH processes (Q609736) (← links)
- Minimum density power divergence estimator for GARCH models (Q619106) (← links)
- Mixing properties of ARCH and time-varying ARCH processes (Q637105) (← links)
- High-level dependence in time series models (Q650680) (← links)
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models (Q651027) (← links)
- Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes (Q710816) (← links)
- Stationarity and geometric ergodicity of BEKK multivariate GARCH models (Q719379) (← links)
- On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity (Q734550) (← links)
- Inconsistency of the MLE and inference based on weighted LS for LARCH models (Q736696) (← links)
- A note on Jarque-Bera normality test for ARMA-GARCH innovations (Q744734) (← links)
- Random matrix products when the top Lyapunov exponent is simple (Q783728) (← links)
- Strong approximation for the sums of squares of augmented GARCH sequences (Q850764) (← links)
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach (Q869981) (← links)
- Common volatility and correlation clustering in asset returns (Q884052) (← links)
- Regular variation of order 1 nonlinear AR-ARCH models (Q886112) (← links)
- Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations (Q888322) (← links)
- A new hyperbolic GARCH model (Q888335) (← links)
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (Q894634) (← links)
- The extremal index for GARCH(1,1) processes (Q907366) (← links)
- Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions (Q927367) (← links)
- Robust estimates for GARCH models (Q935425) (← links)
- Distributional analysis of empirical volatility in GARCH processes (Q947260) (← links)
- The functional central limit theorem for a family of GARCH observations with applications (Q952866) (← links)
- On the existence of higher-order moments of periodic GARCH models (Q958952) (← links)
- The asymptotic convexity of the negative likelihood function of GARCH models (Q959162) (← links)
- Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model (Q960349) (← links)
- On the structure of generalized threshold ARCH processes (Q962013) (← links)
- Stationarity and geometric ergodicity of a class of nonlinear ARCH models (Q997428) (← links)
- Continuous-time GARCH processes (Q997951) (← links)
- Probabilistic properties of periodic GARCH prosses (Q1009536) (← links)
- Periodic stationarity of random coefficient periodic autoregressions (Q1012233) (← links)
- Testing the equality of error distributions from \(k\) independent GARCH models (Q1012539) (← links)
- Asymptotic results for the empirical process of stationary sequences (Q1016616) (← links)
- Smoothly truncated stable distributions, GARCH-models, and option pricing (Q1028530) (← links)
- Asymptotically homogeneous iterated random functions with applications to the HARCH process (Q1041395) (← links)
- Break detection in the covariance structure of multivariate time series models (Q1043722) (← links)