Pages that link to "Item:Q1355665"
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The following pages link to ARCH models and financial applications (Q1355665):
Displaying 50 items.
- Simulation-based finite-sample tests for heteroskedasticity and ARCH effects (Q90702) (← links)
- Inference for the autocovariance of a functional time series under conditional heteroscedasticity (Q91428) (← links)
- Generalized R-estimators under conditional heteroscedasticity (Q289160) (← links)
- Estimation and tests for power-transformed and threshold GARCH models (Q290965) (← links)
- Portfolio insurance: gap risk under conditional multiples (Q299885) (← links)
- A closed-form estimator for the multivariate GARCH(1,1) model (Q391807) (← links)
- Asymmetric GARCH processes featuring both threshold effect and bilinear structure (Q419142) (← links)
- Graphical modelling of multivariate time series (Q438963) (← links)
- Simultaneous confidence bands for Yule-Walker estimators and order selection (Q450047) (← links)
- Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach (Q488612) (← links)
- Minimum density power divergence estimator for GARCH models (Q619106) (← links)
- Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion (Q625295) (← links)
- The \(L_{1}\) strong consistency of ARCH innovation density estimator (Q633047) (← links)
- Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models (Q641782) (← links)
- Asymptotics for L2-norm of ARCH innovation density estimator (Q719475) (← links)
- Estimation of nonlinear autoregressive models using design-adapted wavelets (Q816372) (← links)
- A filtering approach to tracking volatility from prices observed at random times (Q862222) (← links)
- On the appropriateness of inappropriate VaR models (Q878314) (← links)
- Diagnostic checking of multivariate nonlinear time series models with martingale difference errors (Q928971) (← links)
- Conditional VaR estimation using Pearson's type IV distribution (Q933511) (← links)
- Extended Glivenko-Cantelli theorem in ARCH\((p)\)-time series (Q945778) (← links)
- On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions (Q946254) (← links)
- Recent developments in volatility modeling and applications (Q955468) (← links)
- Evaluating volatility forecasts in option pricing in the context of a simulated options market (Q957226) (← links)
- Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
- Accurate value-at-risk forecasting based on the normal-GARCH model (Q1010573) (← links)
- Persistent-threshold-GARCH processes: model and application (Q1012221) (← links)
- Testing the equality of error distributions from \(k\) independent GARCH models (Q1012539) (← links)
- A note on application of integral operator in learning theory (Q1012558) (← links)
- Modelling dynamic portfolio risk using risk drivers of elliptical processes (Q1017766) (← links)
- Multiscale local change point detection with applications to value-at-risk (Q1018645) (← links)
- On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity (Q1025338) (← links)
- Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations (Q1044011) (← links)
- Fitting a Pareto-Normal-Pareto distribution to the residuals of financial data (Q1424662) (← links)
- An MCDM approach to portfolio optimization. (Q1427599) (← links)
- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence (Q1600522) (← links)
- Multivariate GARCH estimation via a Bregman-proximal trust-region method (Q1623522) (← links)
- Decreasing the temporal complexity for nonlinear, implicit reduced-order models by forecasting (Q1737002) (← links)
- Probabilistic forecasting of wave height for offshore wind turbine maintenance (Q1754263) (← links)
- Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes (Q1771421) (← links)
- Kernel density estimator for strong mixing processes (Q1781510) (← links)
- Empirical process of the squared residuals of an ARCH sequence (Q1848867) (← links)
- Asymptotic nonequivalence of GARCH models and diffusions (Q1848957) (← links)
- Nonstationary nonlinear heteroskedasticity. (Q1858976) (← links)
- Strong approximation of the empirical process of GARCH sequences (Q1872456) (← links)
- Residual analysis for \(\text{ARCH}(p)\)-time series. (Q1872845) (← links)
- Statistical inference for time-inhomogeneous volatility models. (Q1879945) (← links)
- Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland (Q1886291) (← links)
- Derivation of a state-space model by functional data analysis (Q1887229) (← links)
- Robust omega ratio optimization using regular vines (Q2047199) (← links)
