Parameter estimation in nonlinear AR-GARCH models
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Cites work
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- Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts
- Basic structure of the asymptotic theory in dynamic nonlinear econometric models
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- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
- Estimation and tests for power-transformed and threshold GARCH models
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Cited in
(44)- Entropy test and residual empirical process for autoregressive conditional duration models
- GARCH option pricing models with Meixner innovations
- Maximum entropy test for GARCH models
- Copula parameter change test for nonlinear AR models with nonlinear GARCH errors
- Estimation of the parameters for unstable AR models
- Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity
- Maximum likelihood estimation for score-driven models
- Modified residual CUSUM test for location-scale time series models with heteroscedasticity
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- Robust estimation and inference for heavy tailed GARCH
- Density estimation for nonlinear parametric models with conditional heteroscedasticity
- Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
- Spline estimation of a semiparametric GARCH model
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- Self-normalized Cramér-type moderate deviations under dependence
- Testing conditional asymmetry: a residual-based approach
- QML estimation of a class of multivariate asymmetric GARCH models
- Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
- Stability of nonlinear AR-GARCH models
- Estimation for nonlinear autoregressive models generated by beta-ARCH processes
- Parameter estimation and applications based on autoregressive heteroskedastic forecast models
- scientific article; zbMATH DE number 2002583 (Why is no real title available?)
- US stock returns: are there seasons of excesses?
- Parameter Estimation in Conditional Heteroscedastic Models
- scientific article; zbMATH DE number 799018 (Why is no real title available?)
- TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
- Asymptotic theory for QMLE for the real-time GARCH\((1,1)\) model
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- Estimation of temporally aggregated multivariate GARCH models
- A max-correlation white noise test for weakly dependent time series
- A bootstrap approach for generalized autocontour testing implications for VIX forecast densities
- QMLE of periodic time-varying bilinear– GARCH models
- Estimation of the parameters of symmetric stable ARMA and ARMA–GARCH models
- Estimating functions for nonlinear time series models
- Variance estimation in nonlinear autoregressive time series models
- Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
- Modelling volatility by variance decomposition
- Asymptotic inference in multiple-threshold double autoregressive models
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
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