QML inference for volatility models with covariates
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Cites work
- Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
- Bartlett's formula for a general class of nonlinear processes
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
- Estimation and tests for power-transformed and threshold GARCH models
- Estimation When a Parameter is on a Boundary
- Exogeneity
- Factor double autoregressive models with application to simultaneous causality testing
- GARCH processes: structure and estimation
- scientific article; zbMATH DE number 5984103 (Why is no real title available?)
- scientific article; zbMATH DE number 765034 (Why is no real title available?)
- scientific article; zbMATH DE number 5243765 (Why is no real title available?)
- Inference and testing on the boundary in extended constant conditional correlation GARCH models
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Marginalization and contemporaneous aggregation in multivariate GARCH processes
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- New weighted portmanteau statistics for time series goodness of fit testing
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
- QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Stationarity of GARCH processes and of some nonnegative time series
- Strict stationarity of generalized autoregressive processes
- Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach
- Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons
- Testing When a Parameter is on the Boundary of the Maintained Hypothesis
- The caudal characteristic curve of queues
- The Lindeberg-Levy Theorem for Martingales
- Threshold heteroskedastic models
- What good is a volatility model?
Cited in
(35)- Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
- Asymptotics of Cholesky GARCH models and time-varying conditional betas
- Asymptotic properties of the QMLE in a log-linear RealGARCH model with Gaussian errors
- Estimation of multivariate asymmetric power GARCH models
- Multivariate time series models for mixed data
- Inference and model selection in general causal time series with exogenous covariates
- Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crisis
- Testing for local covariate trend effects in volatility models
- Asymptotic theory of the adaptive sparse group Lasso
- Conditional asymmetry in power ARCH() models
- Extreme dependence in investor attention and stock returns -- consequences for forecasting stock returns and measuring systemic risk
- Count and duration time series with equal conditional stochastic and mean orders
- Iterations of dependent random maps and exogeneity in nonlinear dynamics
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
- Testing GARCH-X type models
- Generalized Gaussian quasi-maximum likelihood estimation for most common time series
- Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model
- Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series
- Estimating \(\operatorname{GARCH}(1, 1)\) in the presence of missing data
- Exponential control of the trajectories of iterated function systems with application to semi-strong GARCH models
- On consistency for time series model selection
- Optimal estimating function for weak location‐scale dynamic models
- Stationarity and ergodic properties for some observation-driven models in random environments
- Extremal Dependence-Based Specification Testing of Time Series
- Testing for an Omitted Multiplicative Long-Term Component in GARCH Models
- Testing in GARCH-X models: boundary, correlations and bootstrap theory
- Density power divergence estimator for general integer-valued time series with exogenous covariates
- Statistical learning for -weakly dependent processes
- Excess risk bound for deep learning under weak dependence
- Vs-TGARCHX: a flexible variable selection in log-TGARCHX models
- Unified estimation of conditional distortion risk measures and expectiles in APARCH-X models
- Adaptive Group LASSO for the GARCH-MIDAS Model
- ARCH/GARCH with persistent covariate: asymptotic theory of MLE
- A note on portmanteau tests for conditional heteroscedastistic models
- Bitcoin mining activity and volatility dynamics in the power market
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