Pages that link to "Item:Q1302764"
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The following pages link to Properties of moments of a family of GARCH processes (Q1302764):
Displayed 50 items.
- A family of autoregressive conditional duration models (Q269391) (← links)
- Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness (Q275269) (← links)
- Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity (Q278492) (← links)
- An econometric analysis of asymmetric volatility: theory and application to patents (Q280248) (← links)
- Monitoring disruptions in financial markets (Q291846) (← links)
- Asymmetric GARCH processes featuring both threshold effect and bilinear structure (Q419142) (← links)
- Method of moments estimation of GO-GARCH models (Q737949) (← links)
- Random coefficient GARCH models (Q814261) (← links)
- Random coefficient mixture (RCM) GARCH models (Q815363) (← links)
- \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors (Q898600) (← links)
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form (Q899521) (← links)
- Distributional analysis of empirical volatility in GARCH processes (Q947260) (← links)
- Recent developments in volatility modeling and applications (Q955468) (← links)
- Estimating confidence regions over bounded domains (Q957208) (← links)
- Unobserved component models with asymmetric conditional variances (Q959303) (← 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)
- Combining estimating functions for volatility (Q999000) (← links)
- A mathematical approach to detect the Taylor property in TARCH processes (Q1007346) (← links)
- Likelihood inference in BL-GARCH models (Q1424647) (← links)
- Kurtosis of GARCH and stochastic volatility models with non-normal innovations (Q1810673) (← links)
- Stationarity and the existence of moments of a family of GARCH processes. (Q1858910) (← links)
- Nonstationary nonlinear heteroskedasticity. (Q1858976) (← links)
- Evaluating GARCH models. (Q1858977) (← links)
- Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility (Q1927544) (← links)
- Testing the existence of moments for GARCH processes (Q2116322) (← links)
- Nearly nonstationary processes under infinite variance GARCH noises (Q2160010) (← links)
- Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes (Q2270866) (← links)
- Volatility filtering in estimation of kurtosis (and variance) (Q2283658) (← links)
- Bootstrapping the GMM overidentification test under first-order underidentification (Q2405903) (← links)
- Asymptotic spectral theory for nonlinear time series (Q2456020) (← links)
- Random coefficient volatility models (Q2483427) (← links)
- Related commodity markets and conditional correlations (Q2486205) (← links)
- On stationarity and \(\beta\)-mixing property of certain nonlinear \(\text{GARCH}(p,q)\) models (Q2573987) (← links)
- Outliers and misleading leverage effect in asymmetric GARCH-type models (Q2699591) (← links)
- Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data (Q2700531) (← links)
- Limit theory for a general class of GARCH models with just barely infinite variance (Q2930910) (← links)
- (Q2974530) (← links)
- ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS (Q2986523) (← links)
- Generalized Variance-Ratio Tests in the Presence of Statistical Dependence (Q3192401) (← links)
- MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS (Q3408521) (← links)
- ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES (Q3408523) (← links)
- A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES (Q3408529) (← links)
- ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES (Q3450350) (← links)
- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL (Q3551018) (← links)
- BL-GARCH models with elliptical distributed innovations (Q3589975) (← links)
- Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models (Q3590747) (← links)
- Stationarity of a family of GARCH processes (Q3653360) (← links)
- Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model (Q4416012) (← links)
- RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS (Q4554606) (← links)