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