Linear double autoregression
From MaRDI portal
Recommendations
- Quantile double AR time series models for financial returns
- A note on diagnostic checking of the double autoregressive model
- On a vector double autoregressive model
- Quantile regression for location-scale time series models with conditional heteroscedasticity
- Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
Cites work
- scientific article; zbMATH DE number 3789620 (Why is no real title available?)
- scientific article; zbMATH DE number 4001209 (Why is no real title available?)
- scientific article; zbMATH DE number 5224887 (Why is no real title available?)
- A note on L-estimates for linear models
- Asymptotic Statistics
- Asymptotic inference for a nonstationary double AR(1) model
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Averaging of an increasing number of moment condition estimators
- Composite quantile regression and the oracle model selection theory
- Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
- EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION
- Estimation and Testing Stationarity for Double-Autoregressive Models
- Generalized autoregressive conditional heteroscedasticity
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
- Goodness of Fit and Related Inference Processes for Quantile Regression
- LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
- Least absolute deviation estimates in autoregression with infinite variance
- Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
- M-estimation for autoregression with infinite variance
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Non-linear time series and Markov chains
- On convergence of LAD estimates in autoregression with infinite variance
- Oracle model selection for nonlinear models based on weighted composite quantile regression
- Quantile correlations and quantile autoregressive modeling
- Quantile regression.
- RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
- Regression Quantiles
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Strict stationarity of generalized autoregressive processes
- Subadditive ergodic theory
- Weighted composite quantile regression estimation of DTARCH models
Cited in
(15)- On an asymmetric functional-coefficient ARCH-M model
- Non-standard inference for augmented double autoregressive models with null volatility coefficients
- Asymmetric linear double autoregression
- Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
- QUANTILE DOUBLE AUTOREGRESSION
- Strict stationarity testing and GLAD estimation of double autoregressive models
- Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
- Spatial-temporal Model with Heterogeneous Random Effects
- Quantile estimation of regression models with GARCH-X errors
- Rate-optimal robust estimation of high-dimensional vector autoregressive models
- Efficient Estimation for Models With Nonlinear Heteroscedasticity
- Bayesian inference for a mixture double autoregressive model
- On the three-step non-Gaussian quasi-maximum likelihood estimation of heavy-tailed double autoregressive models
- On a vector double autoregressive model
- Quantile double AR time series models for financial returns
This page was built for publication: Linear double autoregression
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1792485)
