Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
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Cites work
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- A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
- A multiple-threshold AR(1) model
- Asymptotic inference in multiple-threshold double autoregressive models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- Detecting and diagnostic checking multivariate conditional heteroscedastic time series models
- Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
- Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
- Generalized autoregressive conditional heteroscedasticity
- LASSO estimation of threshold autoregressive models
- Limiting distributions for \(L_1\) regression estimators under general conditions
- Mixed Portmanteau Tests for Time‐Series Models
- Nonlinear time series. Nonparametric and parametric methods
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
- On a measure of lack of fit in time series models
- On the ergodicity of \(TAR(1)\) processes
- On the least squares estimation of multiple-regime threshold autoregressive models
- Score based goodness-of-fit tests for time series
- Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
- Stability and the Lyapounov exponent of threshold AR-ARCH models
- Testing for threshold autoregression
- Testing for threshold autoregression with conditional heteroscedasticity
- The sample autocorrelations of heavy-tailed processes with applications to ARCH
- The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
- Threshold models in time series analysis -- 30 years on
- Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors
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