The following pages link to Threshold heteroskedastic models (Q5894596):
Displaying 50 items.
- A class of stochastic unit-root bilinear processes: mixing properties and unit-root test (Q290958) (← links)
- Consistent ranking of volatility models (Q292007) (← links)
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
- Conditional value-at-risk: semiparametric estimation and inference (Q311646) (← links)
- A lattice model for option pricing under GARCH-jump processes (Q385653) (← links)
- On the probabilistic structure of power threshold generalized ARCH stochastic processes (Q449026) (← links)
- Inference and testing for structural change in general Poisson autoregressive models (Q491391) (← links)
- A note on portmanteau tests for conditional heteroscedastistic models (Q777693) (← links)
- Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach (Q834310) (← links)
- Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions (Q840372) (← links)
- A modified GARCH model with spells of shocks (Q853870) (← links)
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach (Q869981) (← links)
- On valuing participating life insurance contracts with conditional heteroscedasticity (Q928174) (← links)
- The autocorrelation structure of the Markov-switching asymmetric power GARCH process (Q945788) (← links)
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements (Q951384) (← links)
- A conditional extreme value volatility estimator based on high-frequency returns (Q959736) (← 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)
- A mathematical approach to detect the Taylor property in TARCH processes (Q1007346) (← links)
- Investor heterogeneity, asset pricing and volatility dynamics (Q1042361) (← links)
- Estimation and inference for exponential smooth transition nonlinear volatility models (Q1044066) (← links)
- ARCH modeling in finance. A review of the theory and empirical evidence (Q1185104) (← links)
- Some statistical results on autoregressive conditionally heteroscedastic models (Q1299538) (← links)
- Properties of moments of a family of GARCH processes (Q1302764) (← links)
- Looking for evidence of speculative stockholding in commodity markets (Q1350648) (← links)
- Modeling the changing asymmetry of conditional variances (Q1351734) (← links)
- Time variation of second moments from a noise trader/infection model (Q1390898) (← links)
- Bootstrapping nonparametric estimators of the volatility function. (Q1421318) (← links)
- Conditional correlation in asset return and GARCH intensity model (Q1621670) (← links)
- Dynamic factor multivariate GARCH model (Q1623556) (← links)
- A model for level induced conditional heteroskedasticity (Q1726803) (← links)
- The influencing factors of sCER price dynamics under the clean development mechanism: theory and econometric analysis (Q1757681) (← links)
- The ARL of modified Shewhart control charts for conditionally heteroskedastic models (Q1935676) (← links)
- Partially adaptive econometric methods for regression and classification (Q1959110) (← links)
- Investigating the diversifying or hedging nexus of cannabis cryptocurrencies with major digital currencies (Q2064608) (← links)
- Option valuation with IG-GARCH model and a U-shaped pricing kernel (Q2153632) (← links)
- Nearly nonstationary processes under infinite variance GARCH noises (Q2160010) (← links)
- Multivariate leverage effects and realized semicovariance GARCH models (Q2190232) (← links)
- Research on risk mechanism of China's carbon financial market development from the perspective of ecological civilization (Q2195884) (← links)
- Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid (Q2203392) (← links)
- Volatility filtering in estimation of kurtosis (and variance) (Q2283658) (← links)
- Threshold factor models for high-dimensional time series (Q2305974) (← links)
- Test for tail index constancy of GARCH innovations based on conditional volatility (Q2317888) (← links)
- A data-dependent approach to modeling volatility in financial time series (Q2347550) (← links)
- Support vector machine as an efficient framework for stock market volatility forecasting (Q2468372) (← links)
- Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions (Q2480221) (← links)
- On stationarity and \(\beta\)-mixing property of certain nonlinear \(\text{GARCH}(p,q)\) models (Q2573987) (← links)
- Sequential conditional correlations: inference and evaluation (Q2630121) (← links)
- The stationary seasonal hyperbolic asymmetric power ARCH model (Q2643390) (← links)
