Inference for Box-Cox transformed threshold GARCH models with nuisance parameters
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Cites work
- Adaptive estimation in time-series models
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
- Asymptotics of the QMLE for Non-Linear ARCH Models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bayesian estimation of the Gaussian mixture GARCH model
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Estimation and tests for power-transformed and threshold GARCH models
- Finite mixture models
- GARCH processes: structure and estimation
- Generalized autoregressive conditional heteroscedasticity
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Kurtosis of GARCH and stochastic volatility models with non-normal innovations
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Mixture Densities, Maximum Likelihood and the EM Algorithm
- Multivariate skewt-distribution
- Normal mixture quasi-maximum likelihood estimator for GARCH models
- Note on the consistency of the maximum likelihood estimate for nonidentifiable distributions
- On adaptive estimation in nonstationary ARMA models with GARCH errors
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Semiparametric efficient adaptive estimation of asymmetric GARCH models
- Stability of nonlinear AR-GARCH models
- Stable Paretian models in finance
- Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
- Stationarity of GARCH processes and of some nonnegative time series
- The efficiency of the estimators of the parameters in GARCH processes.
- The rate of consistency of the quasi-maximum likelihood estimator.
- Threshold \(\text{Arch}(1)\) processes: Asymptotic inference
- Threshold heteroskedastic models
Cited in
(8)- Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
- On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process
- On the tail index inference for heavy-tailed GARCH-type innovations
- Quantile regression for location-scale time series models with conditional heteroscedasticity
- Estimation and tests for power-transformed and threshold GARCH models
- Bootstrap entropy test for general location-scale time series models with heteroscedasticity
- A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models
- NM-QELE for ARMA-GARCH models with non-Gaussian innovations
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