Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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(only showing first 100 items - show all)- An extensive analysis on the Japanese markets via S. Taylor's model
- Cross-sectional-skew-dependent distribution models for industry returns in the Japanese stock market
- Nonlinear dynamics of the Nikkei stock average futures
- A new approach for testing the randomness of heteroskedastic time series data
- Nonparametric prediction for the time-dependent volatility of the security price
- Non-ideal Brownian motion, generalized Langevin equation and its application to the security market
- Inference for the limiting cluster size distribution of extreme values
- GARCH modelling in continuous time for irregularly spaced time series data
- Augmented GARCH sequences: Dependence structure and asymptotics
- Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations
- Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
- An efficient algorithm for estimating a change-point
- Dimensionality reduction and greedy learning of convoluted stochastic dynamics
- An analysis of the flexibility of asymmetric power GARCH models
- Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
- A simple multivariate ARCH model specified by random coefficients
- Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
- Comparison of nonnested asymmetric heteroskedastic models
- Accurate value-at-risk forecasting based on the normal-GARCH model
- The informational content of insider trading disclosures: empirical results for the Polish stock market
- Persistent-threshold-GARCH processes: model and application
- Testing the equality of error distributions from \(k\) independent GARCH models
- Asymptotic results for the empirical process of stationary sequences
- Estimating multivariate ARCH parameters by two-stage least-squares method
- Modelling dynamic portfolio risk using risk drivers of elliptical processes
- High frequency market microstructure noise estimates and liquidity measures
- Multiscale local change point detection with applications to value-at-risk
- A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
- Analysing the performance of bootstrap neural tests for conditional heteroskedasticity in ARCH-M models
- Bayesian estimation of the Gaussian mixture GARCH model
- Improving the reliability of bootstrap tests with the fast double bootstrap
- A bootstrap approach to test the conditional symmetry in time series models
- Simulation-based sequential analysis of Markov switching stochastic volatility models
- Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
- Volatility forecasting using threshold heteroskedastic models of the intra-day range
- Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
- Clustering heteroskedastic time series by model-based procedures
- Mixture periodic autoregressive conditional heteroskedastic models
- On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity
- Optimal dynamic hedging via copula-threshold-GARCH models
- An evolutionary game theory explanation of ARCH effects
- Power-law behaviour, heterogeneity, and trend chasing
- RCA models with GARCH innovations
- A tale of two volatilities
- Selecting the best forecasting-implied volatility model using genetic programming
- A general approach to Bayesian portfolio optimization
- Asymptotically homogeneous iterated random functions with applications to the HARCH process
- Break detection in the covariance structure of multivariate time series models
- Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations
- Estimation and inference for exponential smooth transition nonlinear volatility models
- Deciding between GARCH and stochastic volatility via strong decision rules
- On some properties of autoregressive conditional Poisson (ACP) models
- Misspecified models with dependent observations
- Empirical modeling in dynamic econometrics
- Autoregressive models for matrix-valued time series
- Risk measurement in semimartingale models with multiple consumption goods
- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
- Exact predictive densities for linear models with ARCH disturbances
- Estimating linear representations of nonlinear processes
- Cointegration tests with conditional heteroskedasticity.
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Closing the GARCH gap: Continuous time GARCH modeling
- Volume, volatility, and leverage: A dynamic analysis
- Estimating the variance of the LAD regression coefficients.
- GARCH (1,1) processes are near epoch dependent
- A Lagrange multiplier test for GARCH models
- ARCH modeling in finance. A review of the theory and empirical evidence
- Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
- Prediction in dynamic models with time-dependent conditional variances
- Stationarity of GARCH processes and of some nonnegative time series
- Qualitative threshold ARCH models
- Two-factor model for bond selection
- Estimation of multivariate non-linear time series models
- Stochastic modeling of security returns: Evidence from the Helsinki stock exchange
- Some analysis of the long-run time series properties of consumption and income in the U.K
- A nonlinear time series model and estimation of missing observations
- Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
- A comparative evaluation of alternative models of the term structure of interest rates
- Rationality testing under asymmetric loss
- A test of conditional heteroscedasticity in time series
- Econophysics: Scaling and its breakdown in finance
- A comparison of the power of some tests for conditional heteroscedasticity
- A new estimator of the fractionally integrated stochastic volatility model
- The GARCH (1,1)-\(M\) model: results for the densities of the variance and the mean
- Extremes of stochastic volatility models
- Tail index estimation for dependent data
- Testing for GARCH effects: A one-sided approach
- A consistent nonparametric test for serial independence
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
- Distribution theory for unit root tests with conditional heteroskedasticity
- Some statistical results on autoregressive conditionally heteroscedastic models
- Nonparametric vector autoregression
- Nonlinear time series with long memory: A model for stochastic volatility
- Long-term equity anticipation securities and stock market volatility dynamics
- Consistent model specification tests for time series econometric models
- Verifying irreducibility and continuity of a nonlinear time series
- The second moment and the autocovariance function of the squared errors of the GARCH model
- Local scale models. State space alternative to integraded GARCH processes
- Misspecification tests, unit roots and level shifts
- Pricing of permanent and transitory volatility for U.S. stock returns. A composite GARCH model
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