Stationarity and ergodicity of univariate generalized autoregressive score processes
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Publication:405328
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Cites work
- scientific article; zbMATH DE number 3734998 (Why is no real title available?)
- scientific article; zbMATH DE number 1168350 (Why is no real title available?)
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
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- Conditional Heteroskedasticity in Asset Returns: A New Approach
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- Filtering With Heavy Tails
- Generalized autoregressive conditional heteroscedasticity
- Inference in nonstationary asymmetric GARCH models
- Iterated Random Functions
- Kalman Filtering with Random Coefficients and Contractions
- Limit theorems for iterated random functions
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Time series analysis by state space methods.
Cited in
(17)- A stochastic recurrence equations approach for score driven correlation models
- Maximum likelihood estimation for score-driven models
- Dynamic factor copula models with estimated cluster assignments
- Time-varying parameters in econometrics: the editor's foreword
- Semiparametric score driven volatility models
- Clustering of arrivals in queueing systems: autoregressive conditional duration approach
- Time-varying transition probabilities for Markov regime switching models
- Stationarity and ergodic properties for some observation-driven models in random environments
- Missing observations in observation-driven time series models
- Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications
- Bimodal Birnbaum-Saunders generalized autoregressive score model
- Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
- Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
- Stochastic properties of nonlinear locally-nonstationary filters
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
- Commercial and residential mortgage defaults: spatial dependence with frailty
- Two classes of dynamic binomial integer-valued ARCH models
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