Conditional Heteroscedastic Time Series Models
From MaRDI portal
AIC model buildingARCH modelsasymptotic normalityCHARMAconditional heteroscedastic moving average modelsconsistencyF test for heteroscedasticityinformation criterioninnovation processinvertibilityoptimum predictorOrdinary least squares estimatespolynomials of the backshift operatorrandom coefficientsRCA modelstime seriestime varying conditional variancestransfer functionwhite noise
Recommendations
Cited in
(60)- On some probabilistic properties of double periodic AR models
- A simple multivariate ARCH model specified by random coefficients
- Periodic stationarity of random coefficient periodic autoregressions
- Estimating the variance of the LAD regression coefficients.
- ARCH modeling in finance. A review of the theory and empirical evidence
- Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model
- SYMARMA: a new dynamic model for temporal data on conditional symmetric distribution
- Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions
- Asymptotics of Cholesky GARCH models and time-varying conditional betas
- A nonlinear time series approach to modelling asymmetry in stock market indexes
- The correct regularity condition and interpretation of asymmetry in EGARCH
- Generalized autoregressive conditional heteroscedasticity
- Testing for PPP: the erratic behaviour of unit root tests
- Strict stationarity testing and GLAD estimation of double autoregressive models
- Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
- Multivariate hyper-rotated GARCH-BEKK
- A test for strict stationarity in a random coefficient autoregressive model of order 1
- The least-squares criteria of the random coefficient dynamic regression model
- Testing for unit root processes in random coefficient autoregressive models
- A new conditionally heteroscedastic model for asset returns time series
- Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model
- scientific article; zbMATH DE number 6703664 (Why is no real title available?)
- Forecast accuracy and effort: the case of US inflation rates
- Estimation of variances in a heteroscedastic RCA(1) model.
- GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
- The information matrix test in the linear regression with ARMA errors
- Conditionally heteroscedastic factorial HMMs for time series in finance
- A light-tailed conditionally heteroscedastic model with applications to river flows
- Hysteresis and cyclical variability in real wages, output and unemployment: empirical evidence from nonlinear methods for the United States
- Robustness of the arch tests in the presence of serial correlation
- Testing for serial correlation in the presence of dynamic heteroscedasticity
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Stationarity and invertibility of a dynamic correlation matrix.
- Parameter Estimation in Conditional Heteroscedastic Models
- Slope influence diagnostics in conditional heteroscedastic time series models
- ARCH tests and quantile regressions
- scientific article; zbMATH DE number 1419979 (Why is no real title available?)
- Identification of threshold autoregressive moving average models
- Random coefficient autoregressive processes and the PUCK model with fluctuating potential
- A comparison of parameter estimation methods for the first-order of random coefficient autoregressive model
- Random autoregressive models: a structured overview
- Characterization of the tail behavior of a class of BEKK processes: a stochastic recurrence equation approach
- Risk measurement for conditionally heteroscedastic location-scale time series models with ASTD and AEPD innovations
- Nonlinearity testing and modeling for threshold moving average models
- On conditionally heteroscedastic AR models with thresholds
- A Note on Non‐Negative Arma Processes
- scientific article; zbMATH DE number 5054867 (Why is no real title available?)
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- Testing for strict stationarity in a random coefficient autoregressive model
- On the invertibility of EGARCH\((p, q)\)
- LAD estimation with random coefficient autocorrelated errors.
- Estimation in nonlinear random fields models of autoregressive type with random parameters
- Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
- The maximally selected likelihood ratio test in random coefficient models
- Random multiplication versus random sum: autoregressive-like models with integer-valued random inputs
- Joint modeling of cointegration and conditional heteroscedasticity with applications
- Testing for a linear MA model against threshold MA models
- Canonical correlation analysis for the vector AR(1) model with ARCH innovations
- On time series with randomized unit root and randomized seasonal unit root
- Conditionally heteroscedastic unobserved component models and their reduced form
This page was built for publication: Conditional Heteroscedastic Time Series Models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3776446)