Noncausal AR processes driven by causal GARCH volatility
From MaRDI portal
Cites work
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A time-varying parameter model for local explosions
- Asymptotic properties of weighted least squares estimation in weak PARMA models
- Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
- Bootstrapping the portmanteau tests in weak auto-regressive moving average models
- Conditional asymmetry in power ARCH() models
- Conditional Moments of Noncausal Alpha-Stable Processes and the Prediction of Bubble Crash Odds
- Diagnostic Checking in ARMA Models With Uncorrelated Errors
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Filtering, prediction and simulation methods for noncausal processes
- Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models
- GARCH models. Structure, statistical inference and financial applications
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
- Goodness-of-fit tests for Log-GARCH and EGARCH models
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 1211744 (Why is no real title available?)
- Inference For Autocorrelations Under Weak Assumptions
- Invariance principles for dependent variables
- Local Explosion Modelling by Non-Causal Process
- Mixed causal-noncausal AR processes and the modelling of explosive bubbles
- Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
- Noncausal vector AR processes with application to economic time series
- Noncausal vector autoregression
- Noncausal vector autoregressive process: representation, identification and semi-parametric estimation
- On a measure of lack of fit in time series models
- On conditional least squares estimation for stochastic processes
- Spectral estimation for mixed causal-noncausal autoregressive models
- Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions
- Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
This page was built for publication: Noncausal AR processes driven by causal GARCH volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7323091)
