MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
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Cited in
(only showing first 100 items - show all)- β-mixing and moment properties of RCA models with application to GARCH(p,q)
- Distributional analysis of empirical volatility in GARCH processes
- Subsampling the mean of heavy‐tailed dependent observations
- A note on application of integral operator in learning theory
- Least tail-trimmed squares for infinite variance autoregressions
- Family of the generalised gamma kernels: a generator of asymmetric kernels for nonnegative data
- Stability of nonlinear AR-GARCH models
- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
- Estimation and inference in unstable nonlinear least squares models
- Local GMM estimation of time series models with conditional moment restrictions
- Powerful tests for structural changes in volatility
- Semi-parametric estimation of American option prices
- Discussion on: ``Bootstrap methods for dependent data: a review
- Estimation and inference in factor copula models with exogenous covariates
- Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations
- Local linear fitting under near epoch dependence
- A white noise test under weak conditions
- On linear processes with dependent innovations
- A general result on the mean integrated squared error of the hard thresholding wavelet estimator under \(\alpha\)-mixing dependence
- Analysing liquidity and absorption limits of electronic markets with volume durations
- Functional central limit theorems for augmented GARCH(p,q) and FIGARCH processes
- Mildly explosive autoregression with mixing innovations
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
- A family of autoregressive conditional duration models
- Geometric ergodicity and moment conditions for a seasonal GARCH model with periodic coefficients
- Delay time in sequential detection of change
- Nonparametric estimation of conditional VaR and expected shortfall
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- On stationarity and \(\beta\)-mixing property of certain nonlinear \(\text{GARCH}(p,q)\) models
- On the large-sample behavior of two estimators of the conditional copula under serially dependent data
- Misspecified semiparametric model selection with weakly dependent observations
- Asymptotics for semi-strong augmented GARCH(1,1) model
- Stationary bootstrap for kernel density estimators under -weak dependence
- ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
- A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
- Wavelet-based estimation of regression function for dependent biased data under a given random design
- Adaptive estimation of an additive regression function from weakly dependent data
- Adaptive wavelet estimation of a biased density for strongly mixing sequences
- Bootstrap unit root tests in models with GARCH(1,1) errors
- Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
- Joint extremal behavior of hidden and observable time series with applications to GARCH processes
- Let's get LADE: robust estimation of semiparametric multiplicative volatility models
- Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
- Archimedean copulas and temporal dependence
- Machine Learning Time Series Regressions With an Application to Nowcasting
- Cross-validated SNP density estimates
- NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS
- Wavelet estimation of a density in a GARCH-type model
- The functional central limit theorem for a family of GARCH observations with applications
- Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
- Sequential data-adaptive bandwidth selection by cross-validation for nonparametric prediction
- Nonparametric density estimation for positive time series
- Inference for performance measures for financial assets
- Bounds for the probability distribution function of the linear ACD process
- A bootstrap bias correction of long run fourth order moment estimation in the CUSUM of squares test
- Optimal covariance matrix estimation for high-dimensional noise in high-frequency data
- Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
- Kernel estimation of hazard functions when observations have dependent and common covariates
- Statistical inference for autoregressive models under heteroscedasticity of unknown form
- On stationarity and ergodicity of the bilinear model with applications to GARCH models
- Local M-estimation with discontinuous criterion for dependent and limited observations
- An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls
- Modeling tails of aggregate economic processes in a stochastic growth model
- A new fluctuation test for constant variances with applications to finance
- Asymptotic properties of the Bernstein density copula estimator for \(\alpha \)-mixing data
- Quantifying the data-dredging bias in structural break tests
- Graphical modelling of multivariate time series
- Location multiplicative error models with quasi maximum likelihood estimation
- Asymptotic spectral theory for nonlinear time series
- Modeling and forecasting persistent financial durations
- The common and specific components of dynamic volatility
- Bahadur representation of linear kernel quantile estimator of VaR under -mixing assumptions
- An improved method for forecasting spare parts demand using extreme value theory
- Mixing properties of integer-valued GARCH processes
- Learning near-optimal policies with Bellman-residual minimization based fitted policy iteration and a single sample path
- A Projection-Based Nonparametric Test of Conditional Quantile Independence
- Testing for strict stationarity in a random coefficient autoregressive model
- Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
- Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
- Nonlinear models for strongly dependent processes with financial applications
- Quality control for structural credit risk models
- Asymptotic results of a nonparametric conditional cumulative distribution estimator in the single functional index modeling for time series data with applications
- Stationarity and geometric ergodicity of a class of nonlinear ARCH models
- HAC estimation and strong linearity testing in weak ARMA models
- Large deviations of kernel density estimator in \(L^1(\mathbb R^d)\) for uniformly ergodic Markov processes
- Robust estimation and inference for heavy tailed GARCH
- Test for tail index constancy of GARCH innovations based on conditional volatility
- A max-correlation white noise test for weakly dependent time series
- Improving density forecast by modeling asymmetric features: an application to S{\&}P500 returns
- Absolute regularity of semi-contractive GARCH-type processes
- Non‐linear GARCH models for highly persistent volatility
- Evaluating GARCH models.
- Functional-coefficient models for nonstationary time series data
- Asymptotics for parametric GARCH-in-mean models
- Adaptive and optimal point-wise estimations for densities in GARCH-type model by wavelets
- Consistent GMM residuals-based tests of functional form
- Limit laws in transaction-level asset price models
- Nonlinear Spectral Analysis: A Local Gaussian Approach
- Efficient estimation in dynamic conditional quantile models
- THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS
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