scientific article; zbMATH DE number 4043108
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Cited in
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- Extremal behavior of the autoregressive process with ARCH(1) errors
- Estimation and inference of the vector autoregressive process under heteroscedasticity
- Adaption of two-stage estimation procedure for mean parameters of linear regression models with ARCH errors
- Asymptotics for partly linear regression with dependent samples and ARCH errors: Consistency with rates
- Concurrent processing of heteroskedastic vector-valued mixture density models
- Selecting the order of an ARCH model
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- Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors
- Estimation and strict stationarity testing of ARCH processes based on weighted least squares
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- Robust estimates for arch processes
- Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues
- ARCH modeling in finance. A review of the theory and empirical evidence
- Statistical estimation errors of VaR under ARCH returns
- Asymptotic inference of unstable periodic ARCH processes
- Estimation and inference in unstable nonlinear least squares models
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