Pages that link to "Item:Q1429320"

The following pages link to On adaptive estimation in nonstationary ARMA models with GARCH errors (Q1429320):

Displaying 31 items.

• An econometric analysis of asymmetric volatility: theory and application to patents (Q280248) (← links)
• Inference in nonstationary asymmetric GARCH models (Q385779) (← links)
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models (Q451281) (← links)
• Optimal estimation under nonstandard conditions (Q528003) (← links)
• The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models (Q605860) (← links)
• Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE (Q738084) (← links)
• Testing for a linear MA model against threshold MA models (Q817980) (← links)
• A double-threshold GARCH model of stock market and currency shocks on stock returns (Q960342) (← links)
• Modelling risk in agricultural finance: Application to the poultry industry in Taiwan (Q1005189) (← links)
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (Q1763105) (← links)
• Semiparametric testing with highly persistent predictors (Q2116343) (← links)
• Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures (Q2227445) (← links)
• GFC-robust risk management under the Basel accord using extreme value methodologies (Q2227447) (← links)
• Residual-based rank specification tests for AR-GARCH type models (Q2343810) (← links)
• A stochastic dominance approach to financial risk management strategies (Q2347722) (← links)
• Fitting an error distribution in some heteroscedastic time series models (Q2497190) (← links)
• Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero (Q2642035) (← links)
• Parametric and Semi-Parametric Efficient Tests for Parameter Instability (Q2815046) (← links)
• Asymptotic Inference for Jump Diffusions with State-Dependent Intensity (Q2815596) (← links)
• Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameters (Q2914954) (← links)
• A decision rule to minimize daily capital charges in forecasting value-at-risk (Q3065548) (← links)
• Structure and estimation of a class of nonstationary yet nonexplosive GARCH models (Q3103190) (← links)
• Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility (Q3394105) (← links)
• Local Estimation in AR Models with Nonparametric ARCH Errors (Q3634559) (← links)
• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (Q4561954) (← links)
• ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS (Q4561968) (← links)
• Semiparametric Time Series Models with Log‐concave Innovations: Maximum Likelihood Estimation and its Consistency (Q5177947) (← links)
• A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models (Q5220713) (← links)
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models (Q5313457) (← links)
• LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS (Q6078286) (← links)
• On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing (Q6122963) (← links)