Pages that link to "Item:Q1771421"
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The following pages link to Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes (Q1771421):
Displayed 24 items.
- Estimation and tests for power-transformed and threshold GARCH models (Q290965) (← links)
- Asymmetric GARCH processes featuring both threshold effect and bilinear structure (Q419142) (← links)
- Offline and online weighted least squares estimation of nonstationary power ARCH processes (Q634578) (← links)
- The autocorrelation structure of the Markov-switching asymmetric power GARCH process (Q945788) (← links)
- Persistent-threshold-GARCH processes: model and application (Q1012221) (← links)
- Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations (Q1044011) (← links)
- QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes (Q2063074) (← links)
- A dynamic Markov regime-switching asymmetric GARCH model and its cumulative impulse response function (Q2138226) (← links)
- Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes (Q2270866) (← links)
- Test for tail index constancy of GARCH innovations based on conditional volatility (Q2317888) (← links)
- Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models (Q2454005) (← links)
- Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process (Q2467375) (← links)
- On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process (Q2497786) (← links)
- Bayesian analysis of periodic asymmetric power GARCH models (Q2697099) (← links)
- Outliers and misleading leverage effect in asymmetric GARCH-type models (Q2699591) (← links)
- Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameters (Q2914954) (← links)
- Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes (Q3396477) (← links)
- Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series (Q4912051) (← links)
- Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model (Q4914961) (← links)
- Power periodic threshold GARCH model: Structure and estimation (Q5076941) (← links)
- Autoregressive processes with generalized hyperbolic innovations (Q5083924) (← links)
- Volatility asymmetry in functional threshold GARCH model (Q5111779) (← links)
- A Bayesian Analysis of Autoregressive Models with Exogenous Variables and Power-Transformed and Threshold GARCH Errors (Q5265882) (← links)
- A Family of Markov‐Switching Garch Processes (Q5397964) (← links)