Pages that link to "Item:Q1302764"

The following pages link to Properties of moments of a family of GARCH processes (Q1302764):

Displaying 47 items.

• A family of autoregressive conditional duration models (Q269391) (← links)
• Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness (Q275269) (← links)
• Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity (Q278492) (← links)
• An econometric analysis of asymmetric volatility: theory and application to patents (Q280248) (← links)
• Monitoring disruptions in financial markets (Q291846) (← links)
• Asymmetric GARCH processes featuring both threshold effect and bilinear structure (Q419142) (← links)
• Method of moments estimation of GO-GARCH models (Q737949) (← links)
• Random coefficient GARCH models (Q814261) (← links)
• Random coefficient mixture (RCM) GARCH models (Q815363) (← links)
• \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors (Q898600) (← links)
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form (Q899521) (← links)
• Distributional analysis of empirical volatility in GARCH processes (Q947260) (← links)
• Recent developments in volatility modeling and applications (Q955468) (← links)
• Estimating confidence regions over bounded domains (Q957208) (← links)
• Unobserved component models with asymmetric conditional variances (Q959303) (← links)
• Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model (Q960349) (← links)
• On the structure of generalized threshold ARCH processes (Q962013) (← links)
• Combining estimating functions for volatility (Q999000) (← links)
• A mathematical approach to detect the Taylor property in TARCH processes (Q1007346) (← links)
• Likelihood inference in BL-GARCH models (Q1424647) (← links)
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations (Q1810673) (← links)
• Stationarity and the existence of moments of a family of GARCH processes. (Q1858910) (← links)
• Nonstationary nonlinear heteroskedasticity. (Q1858976) (← links)
• Evaluating GARCH models. (Q1858977) (← links)
• Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility (Q1927544) (← links)
• Testing the existence of moments for GARCH processes (Q2116322) (← links)
• Nearly nonstationary processes under infinite variance GARCH noises (Q2160010) (← links)
• Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes (Q2270866) (← links)
• Volatility filtering in estimation of kurtosis (and variance) (Q2283658) (← links)
• Bootstrapping the GMM overidentification test under first-order underidentification (Q2405903) (← links)
• Asymptotic spectral theory for nonlinear time series (Q2456020) (← links)
• Random coefficient volatility models (Q2483427) (← links)
• Related commodity markets and conditional correlations (Q2486205) (← links)
• On stationarity and \(\beta\)-mixing property of certain nonlinear \(\text{GARCH}(p,q)\) models (Q2573987) (← links)
• Outliers and misleading leverage effect in asymmetric GARCH-type models (Q2699591) (← links)
• Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data (Q2700531) (← links)
• Limit theory for a general class of GARCH models with just barely infinite variance (Q2930910) (← links)
• (Q2974530) (← links)
• ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS (Q2986523) (← links)
• Generalized Variance-Ratio Tests in the Presence of Statistical Dependence (Q3192401) (← links)
• MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS (Q3408521) (← links)
• ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES (Q3408523) (← links)
• A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES (Q3408529) (← links)
• Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models (Q4828167) (← links)
• Likelihood inference for discriminating between long‐memory and change‐point models (Q5397940) (← links)
• A Family of Markov‐Switching Garch Processes (Q5397964) (← links)
• Stability conditions for heteroscedastic factor models with conditionally autoregressive betas (Q5495694) (← links)