Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors
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- Nearly nonstationary processes under infinite variance GARCH noises
- Estimation and strict stationarity testing of ARCH processes based on weighted least squares
- Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals
- Toward a unified interval estimation of autoregressions
- Limit theory for a general class of GARCH models with just barely infinite variance
- Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model
- A Weighted Linear Estimator of Multivariate ARCH Parameters
- Empirical-likelihood-based confidence intervals for conditional variance in heteroskedastic regression models
- Estimation and asymptotic inference in the AR-ARCH model
- Local Estimation in AR Models with Nonparametric ARCH Errors
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Tail index of an AR(1) model with ARCH(1) errors
- QUANTILE DOUBLE AUTOREGRESSION
- On the three-step non-Gaussian quasi-maximum likelihood estimation of heavy-tailed double autoregressive models
- Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
- Double AR model without intercept: an alternative to modeling nonstationarity and heteroscedasticity
- Sample path properties of an explosive double autoregressive model
- Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
- Quantile inference for heteroscedastic regression models
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
- Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
- Analysis of nonuniform DAR(1) processes with mismatched explanatory variables
- Quasi-maximum exponential likelihood estimator and portmanteau test of double \(\operatorname{AR}(p)\) model based on \(\operatorname{Laplace}(a,b)\)
- Statistical inference for conditional quantiles in nonlinear time series models
- Conditional variance estimation in heteroscedastic regression models
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