Estimation and Testing Stationarity for Double-Autoregressive Models
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Cites work
- A new neuro-fuzzy identification model of nonlinear dynamic systems
- Covariance matrix estimation for estimators of mixing weak ARMA models
- Estimating linear representations of nonlinear processes
- Estimation in nonlinear time series models
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- M-estimation for autoregression with infinite variance
- Testing for reduction to random walk in autoregressive conditional heteroskedasticity models
Cited in
(70)- Double generalized threshold models with constraint on the dispersion by the mean
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
- On a vector double autoregressive model
- Empirical likelihood inference for functional coefficient ARCH-M model
- Linear double autoregression
- The performance of unit root tests under level-dependent heteroskedasticity
- Strict stationarity testing and GLAD estimation of double autoregressive models
- Asymptotic normality of the MLE in the level-effect ARCH model
- Non-standard inference for augmented double autoregressive models with null volatility coefficients
- Factor double autoregressive models with application to simultaneous causality testing
- A note on unit root tests with heavy-tailed GARCH errors
- Unit root testing in the presence of heavy-tailed GARCH errors
- A functional coefficient GARCH-M model
- An alternative GARCH-in-mean model: structure and estimation
- A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
- Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model
- INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL
- Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models
- 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
- Genetic algorithms for building double threshold generalized autoregressive conditional heteroscedastic models of time series
- A linear varying coefficient ARCH-M model with a latent variable
- Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models
- Finite sample theory of QMLE in ARCH models with dynamics in the mean equation
- Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models
- Asymptotic inference for a nonstationary double AR(1) model
- Local Estimation in AR Models with Nonparametric ARCH Errors
- A note on diagnostic checking of the double autoregressive model
- Structure of a double autoregressive process driven by a hidden Markov chain
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- A simple iterative Z-estimator for semiparametric models
- Statistic inference for a single-index ARCH-M model
- Risk-parameter estimation in volatility models
- Tail index of an AR(1) model with ARCH(1) errors
- Weighted empirical likelihood inferences for a class of varying coefficient ARCH-M models
- Maximum likelihood estimation of the change point in stationary state of auto regressive moving average (ARMA) models, using SVD-based smoothing
- Empirical likelihood based estimation for a class of functional coefficient ARCH-M models
- QUANTILE DOUBLE AUTOREGRESSION
- On the three-step non-Gaussian quasi-maximum likelihood estimation of heavy-tailed double autoregressive models
- Local GMM estimation of time series models with conditional moment restrictions
- A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models
- Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
- Double AR model without intercept: an alternative to modeling nonstationarity and heteroscedasticity
- Testing for strict stationarity in a random coefficient autoregressive model
- Sample path properties of an explosive double autoregressive model
- Bayesian inference for a mixture double autoregressive model
- Rate-optimal robust estimation of high-dimensional vector autoregressive models
- Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model
- A doubly Markov switching \textit{AR} model: some probabilistic properties and strong consistency
- Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
- Consistency and asymptotic normality in a class of nearly unstable processes
- Generalized Covariance Estimator
- A general asymptotic theory for time-series models
- On Mixture Double Autoregressive Time Series Models
- Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
- Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models
- Non-crossing quantile double-autoregression for the analysis of streaming time series data
- Information matrix test for normality of innovations in stationary time series models
- The maximally selected likelihood ratio test in random coefficient models
- Analysis of nonuniform DAR(1) processes with mismatched explanatory variables
- A stochastic tree for bubble asset modelling and pricing
- Bayesian analysis for a threshold double autoregressive model with explanatory variables
- Asymptotic inference for a sign-double autoregressive (SDAR) model of order one
- Orthogonal weighted empirical likelihood test for ARCH-M models with double functional coefficients
- Testing for a unit root in a random coefficient panel data model
- Semiparametric inference in a GARCH-in-mean model
- Quasi-maximum exponential likelihood estimator and portmanteau test of double \(\operatorname{AR}(p)\) model based on \(\operatorname{Laplace}(a,b)\)
- Asymptotic inference in multiple-threshold double autoregressive models
- A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity
- Conditional variance estimation in heteroscedastic regression models
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