ARMA MODELS WITH ARCH ERRORS
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Cites work
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- scientific article; zbMATH DE number 3565994 (Why is no real title available?)
- Nonlinear Regression with Dependent Observations
- Specification Tests in Econometrics
- Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
- Tests for departure from normality in the case of linear stochastic processes
- Two Methods for Examining the Stability of Regression Coefficients
Cited in
(63)- ARCH modeling in finance. A review of the theory and empirical evidence
- Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model
- Testing for GARCH effects: A one-sided approach
- A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model
- Fitting ARMA time series by structural equation models
- A note on the autocorrelations related to a bilinear model with non-independent shocks
- Coefficient constancy test in AR-ARCH models
- Extremal behavior of the autoregressive process with ARCH(1) errors
- Nonparametric estimates for conditional quantiles of time series
- Smoothed conditional scale function estimation in AR(1)-ARCH(1) processes
- CPO plots for ARMA model selection
- Generalized autoregressive conditional heteroscedasticity
- The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
- The ARMA alphabet soup: a tour of ARMA model variants
- Strict stationarity testing and GLAD estimation of double autoregressive models
- Non-standard inference for augmented double autoregressive models with null volatility coefficients
- The spurious effect of ARCH errors on linearity tests: a theoretical note and an alternative maximum likelihood approach
- Reprint of: Generalized autoregressive conditional heteroskedasticity
- Improved multivariate portmanteau test
- Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model
- Hypothesis testing for ARCH models: a multiple quantile regressions approach
- Analysis of ARMA-ARCH models for securities investment fund markets
- Estimation and asymptotic inference in the AR-ARCH model
- Small sample estimation bias in GARCH models with any number of exogenous variables in the mean equation
- Intertemporal consumer behaviour under structural changes in income
- Finite sample theory of QMLE in ARCH models with dynamics in the mean equation
- Modelling the persistence of conditional variances
- scientific article; zbMATH DE number 4043108 (Why is no real title available?)
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Stability conditions for a bivariate arch system which is cointegrated in mean
- Hysteresis and cyclical variability in real wages, output and unemployment: empirical evidence from nonlinear methods for the United States
- On the uniform ergodicity of Markov processes of order 2
- On testing for multivariate ARCH effects in vector time series models
- Local linear fitting under near epoch dependence
- Portfolio risk assessment using multivariate extreme value methods
- Detecting parameter shift in garch models
- Performance of control charts for autoregressive conditional heteroscedastic processes
- scientific article; zbMATH DE number 7353822 (Why is no real title available?)
- Oracally efficient estimation and testing for an ARCH model with trend
- Extracting conditionally heteroskedastic components using independent component analysis
- The marginal density of a TMA(1) process
- On the three-step non-Gaussian quasi-maximum likelihood estimation of heavy-tailed double autoregressive models
- scientific article; zbMATH DE number 5211919 (Why is no real title available?)
- Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
- Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study
- Double AR model without intercept: an alternative to modeling nonstationarity and heteroscedasticity
- Sample path properties of an explosive double autoregressive model
- Threshold heteroskedastic models
- A doubly Markov switching \textit{AR} model: some probabilistic properties and strong consistency
- Applications of Multivariate Quasi-Random Sampling with Neural Networks
- Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
- Diagnostic checks in time series models based on a new correlation coefficient of residuals
- Information matrix test for normality of innovations in stationary time series models
- Uncertain vector moving average model based on Welsch loss function
- Testing ARCH effect of high-dimensional time series data
- Modeling high-frequency data with long memory: the FICARR model
- Discussion on: ``Assessing predictability of environmental time series with statistical and machine learning models
- Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
- Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach
- Asymptotic inference in multiple-threshold double autoregressive models
- On the stationary tail index of iterated random Lipschitz functions
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- On robust testing for conditional heteroscedasticity in time series models
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