EMPIRICAL LIKELIHOOD FOR GARCH MODELS
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Cites work
- Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions
- Distribution theory for unit root tests with conditional heteroskedasticity
- Empirical Likelihood-Based Inference in Conditional Moment Restriction Models
- Empirical likelihood methods with weakly dependent processes
- Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION
Cited in
(52)- Variational Bayes for Fast and Accurate Empirical Likelihood Inference
- The unit root test of ESTAR-GARCH model
- Empirical likelihood based estimation for a class of functional coefficient ARCH-M models
- Smoothed empirical likelihood for GARCH models with heavy-tailed errors
- The asymptotic convexity of the negative likelihood function of GARCH models
- Computational analysis of the behavior of stochastic volatility models with financial applications
- Empirical likelihood for linear and log-linear INGARCH models
- Adjusted empirical likelihood for time series models
- Empirical likelihood for break detection in time series
- Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference
- Smoothed jackknife empirical likelihood method for ROC curve
- Jackknife-blockwise empirical likelihood methods under dependence
- Empirical likelihood for LAD estimators in infinite variance ARMA models
- Empirical likelihood for first-order mixed integer-valued autoregressive model
- Empirical likelihood confidence regions for autoregressive models with explanatory variables
- BL-GARCH models with elliptical distributed innovations
- Empirical likelihood for nonparametric regression models with spatial autoregressive errors
- Empirical likelihood for AR-ARCH models based on LAD estimation
- Empirical likelihood for moving average models
- Empirical likelihood parametric estimations for GARCH-M models
- Threshold autoregression analysis for finite-range time series of counts with an application on measles data
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
- Coefficient constancy test in generalized random coefficient autoregressive model
- On dynamics of volatilities in nonstationary GARCH models
- Weighted empirical likelihood inferences for a class of varying coefficient ARCH-M models
- Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues
- Empirical likelihood test for the application of SWQMELE in fitting an ARMA-GARCH model
- Bayesian empirical likelihood inference and order shrinkage for autoregressive models
- Bayesian empirical likelihood inference for the generalized binomial AR(1) model
- Interval estimation for a simple bilinear model
- Empirical likelihood-based inference in generalized random coefficient autoregressive model with conditional moment restrictions
- A note on the asymptotic behaviour of empirical likelihood statistics
- Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
- Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model
- A review of empirical likelihood methods for time series
- Empirical likelihood for the smoothed LAD estimator in infinite variance autoregressive models
- Statistical inference for generalized random coefficient autoregressive model
- Empirical likelihood inference in autoregressive models with time-varying variances
- Conditional heteroscedasticity test for Poisson autoregressive model
- Inference for short‐memory time series models based on modified empirical likelihood
- Forecasting price of financial market crash via a new nonlinear potential GARCH model
- Empirical likelihood inference for functional coefficient ARCH-M model
- Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
- The first-order random coefficient integer valued autoregressive process with the occasional level shift random noise based on dual empirical likelihood
- Empirical likelihood inference for INAR(1) model with explanatory variables
- Empirical likelihood inference for first-order random coefficient integer-valued autoregressive processes
- Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
- scientific article; zbMATH DE number 1222304 (Why is no real title available?)
- Empirical likelihood in long-memory time series models
- Test for zero median of errors in an ARMA-GARCH model
- Blockwise empirical likelihood for time series of counts
- Penalized empirical likelihood inference for the GINAR(p) model
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