Pages that link to "Item:Q3646948"
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The following pages link to Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes (Q3646948):
Displayed 31 items.
- Testing the constancy of Spearman's rho in multivariate time series (Q314566) (← links)
- A nonlinear model for long-memory conditional heteroscedasticity (Q327174) (← links)
- Testing for prospect and Markowitz stochastic dominance efficiency (Q524818) (← links)
- Towards estimating extremal serial dependence via the bootstrapped extremogram (Q528029) (← links)
- A modified functional delta method and its application to the estimation of risk functionals (Q604360) (← links)
- Semi- and nonparametric ARCH processes (Q609736) (← links)
- Mixing properties of ARCH and time-varying ARCH processes (Q637105) (← links)
- Sensitivity of risk measures with respect to the normal approximation of total claim distributions (Q654808) (← links)
- Stationarity and geometric ergodicity of BEKK multivariate GARCH models (Q719379) (← links)
- Inference in VARs with conditional heteroskedasticity of unknown form (Q898587) (← links)
- Limit theory for explosive autoregression under conditional heteroskedasticity (Q1642735) (← links)
- ARCH model and fractional Brownian motion (Q1698250) (← links)
- Consistency of minimum description length model selection for piecewise stationary time series models (Q1951119) (← links)
- General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator (Q2044417) (← links)
- On bandwidth selection problems in nonparametric trend estimation under martingale difference errors (Q2073219) (← links)
- An asymptotic test for constancy of the variance under short-range dependence (Q2073717) (← links)
- A factor-GARCH model for high dimensional volatilities (Q2155653) (← links)
- Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds (Q2198603) (← links)
- On the ARCH model with stationary liquidity (Q2227202) (← links)
- Inference for performance measures for financial assets (Q2515379) (← links)
- Bridge Estimation for Linear Regression Models with Mixing Properties (Q2802877) (← links)
- Absolute regularity of semi-contractive GARCH-type processes (Q4968513) (← links)
- Necessary and sufficient conditions for the identifiability of observation‐driven models (Q4997691) (← links)
- The use of aggregate time series for testing conditional heteroscedasticity (Q5058308) (← links)
- A bootstrap bias correction of long run fourth order moment estimation in the CUSUM of squares test (Q5107751) (← links)
- Data cloning estimation of GARCH and COGARCH models (Q5220829) (← links)
- ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS (Q5247357) (← links)
- Adaptive LASSO estimation for ARDL models with GARCH innovations (Q5864640) (← links)
- Root-\(T\) consistent density estimation in GARCH models (Q5964750) (← links)
- Testing conditional heteroscedasticity with systematic sampling of time series (Q6115031) (← links)
- A central limit theorem for the Benjamini-Hochberg false discovery proportion under a factor model (Q6178583) (← links)