Handbook of Financial Time Series
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Collections of articles of miscellaneous specific interest (00B15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to social sciences (62P25) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Economic time series analysis (91B84)
Cited in
(41)- Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative
- Model complexity and out-of-sample performance: evidence from S\&P 500 index returns
- Robustness of binary choice models to conditional heteroscedasticity
- A hybrid data cloning maximum likelihood estimator for stochastic volatility models
- Some properties of stochastic volatility model that are induced by its volatility sequence
- Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
- Precise large deviations for dependent subexponential variables
- Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise
- Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis
- Functional ARCH and GARCH models: a Yule-Walker approach
- Homogeneous mappings of regularly varying vectors
- The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
- Dependence and uniqueness in Bayesian games
- Asymptotic results of a nonparametric conditional cumulative distribution estimator in the single functional index modeling for time series data with applications
- Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach
- Determining the signal dimension in second order source separation
- Time-varying forecasts by variational approximation of sequential Bayesian inference
- Nonstationary linear processes with infinite variance GARCH errors
- On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series
- Bayesian inference of multivariate rotated GARCH models with skew returns
- Nonparametric dependence modeling via cluster analysis: A financial contagion application
- Limit theorems for excursion sets of subordinated Gaussian random fields with long-range dependence
- scientific article; zbMATH DE number 7578230 (Why is no real title available?)
- Long range dependence of heavy-tailed random functions
- Monitoring mean changes in persistent multivariate time series
- Log-optimal portfolios with memory effect
- Testing for correlation between two time series using a parametric bootstrap
- Whittle estimation in multivariate CCC-GARCH processes
- scientific article; zbMATH DE number 7660124 (Why is no real title available?)
- Non-linear affine processes with jumps
- Characterizing Two‐Qubit Non‐Classical Correlations and Non‐Locality in Mixed Local Dephasing Noisy Channels
- Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
- Nonparametric volatility prediction
- A Bayesian Quantile Time Series Model for Asset Returns
- Option pricing in sandwiched Volterra volatility model
- Estimation and backtesting of risk measures with emphasis on distortion risk measures
- Efficient sampling for realized variance estimation in time-changed diffusion models
- You can lead a horse to water: spatial learning and path dependence in consumer search
- Limit theory for martingale transforms with heavy-tailed noise
- Stable limits for sums of dependent infinite variance random variables
- How sensitive are tail-related risk measures in a contamination neighbourhood?
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