scientific article; zbMATH DE number 1157181
From MaRDI portal
Publication:4391131
zbMath0896.62087MaRDI QIDQ4391131
Publication date: 6 October 1998
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Related Items (24)
Parameter change tests for ARMA-GARCH models ⋮ Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility ⋮ A multivariate conditional autoregressive range model ⋮ Geometric ergodicity and \(\beta\)-mixing property for a multivariate CARR model ⋮ Sequential change point detection in ARMA-GARCH models ⋮ Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary ⋮ Estimation in a class of nonlinear heteroscedastic time series models ⋮ On an independent-switching periodic autoregressive conditional duration ⋮ Least absolute deviation estimation of autoregressive conditional duration model ⋮ Detecting structural breaks in realized volatility ⋮ Test for parameter change in ARMA models with GARCH innovations ⋮ On change point test for ARMA-GARCH models: bootstrap approach ⋮ On the existence of higher-order moments of periodic GARCH models ⋮ Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes ⋮ On linear processes with dependent innovations ⋮ On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity ⋮ Robust test for structural instability in dynamic factor models ⋮ On score vector- and residual-based CUSUM tests in ARMA-GARCH models ⋮ Modified residual CUSUM test for location-scale time series models with heteroscedasticity ⋮ On stationarity and \(\beta\)-mixing property of certain nonlinear \(\text{GARCH}(p,q)\) models ⋮ Asymptotics of rank order statistics for ARCH residual empirical processes. ⋮ Stationarity and the existence of moments of a family of GARCH processes. ⋮ Testing the existence of moments for GARCH processes ⋮ Periodic autoregressive conditional duration
This page was built for publication: