scientific article; zbMATH DE number 799018
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Publication:4847446
zbMATH Open0830.62081MaRDI QIDQ4847446FDOQ4847446
Authors: Laure Elie, Thierry Jeantheau 
Publication date: 20 September 1995
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strong consistencyminimum contrast estimators\(\text{AR} (s)\) model\(\text{GARCH} (p,q)\) errorconditionally heteroskedastic models
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Strong limit theorems (60F15)
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- Asymptotic theory for multivariate GARCH processes.
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- Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
- On prediction intervals for conditionally heteroscedastic processes
- Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish
- Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
- Parameter Estimation in Conditional Heteroscedastic Models
- Estimation and Inference for Heteroscedastic Systems of Equations
- Conditional least squares estimation in nonstationary nonlinear stochastic regression models
- Estimation in conditionally heteroscedatic time series models.
- Neglected heterogeneity in moment condition models
- SURE estimates under dependence and heteroscedasticity
- On a multivariate conditional heteroscedastic model
- Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models
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