Pages that link to "Item:Q1763105"
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The following pages link to Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (Q1763105):
Displaying 50 items.
- On the tail index inference for heavy-tailed GARCH-type innovations (Q263253) (← links)
- On Fréchet autoregressive conditional duration models (Q282897) (← links)
- A class of stochastic unit-root bilinear processes: mixing properties and unit-root test (Q290958) (← links)
- Joint and marginal specification tests for conditional mean and variance models (Q291103) (← links)
- Composite quantile regression estimation for P-GARCH processes (Q295137) (← links)
- An alternative approach to estimating demand: neural network regression with conditional volatility for high frequency air passenger arrivals (Q299488) (← links)
- Asymptotics for parametric GARCH-in-mean models (Q308384) (← links)
- Asymptotic inference of unstable periodic ARCH processes (Q411545) (← links)
- A uniform Berry-Esseen theorem on \(M\)-estimators for geometrically ergodic Markov chains (Q418248) (← links)
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models (Q451281) (← links)
- On dynamics of volatilities in nonstationary GARCH models (Q467000) (← links)
- Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
- Risk-parameter estimation in volatility models (Q473360) (← links)
- Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models (Q477106) (← links)
- Estimation and testing linearity for non-linear mixed Poisson autoregressions (Q491400) (← links)
- Estimation of stable distributions by indirect inference (Q530608) (← links)
- NM-QELE for ARMA-GARCH models with non-Gaussian innovations (Q534428) (← links)
- Minimum density power divergence estimator for GARCH models (Q619106) (← links)
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models (Q651027) (← links)
- Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes (Q710816) (← links)
- Monitoring parameter change in time series models (Q719010) (← links)
- Inconsistency of the MLE and inference based on weighted LS for LARCH models (Q736696) (← links)
- Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE (Q738084) (← links)
- A note on Jarque-Bera normality test for ARMA-GARCH innovations (Q744734) (← links)
- Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes (Q834361) (← links)
- Two-stage RLS algorithm for estimating ARCH models (Q857101) (← links)
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach (Q869981) (← links)
- Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations (Q888322) (← links)
- Asymptotic inference in multiple-threshold double autoregressive models (Q888334) (← links)
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (Q894634) (← links)
- Inference in VARs with conditional heteroskedasticity of unknown form (Q898587) (← links)
- Robust estimates for GARCH models (Q935425) (← links)
- Test for parameter change in ARMA models with GARCH innovations (Q947213) (← links)
- Testing the equality of error distributions from \(k\) independent GARCH models (Q1012539) (← links)
- On the choice of test for a unit root when the errors are conditionally heteroskedastic (Q1615170) (← links)
- Dynamic factor multivariate GARCH model (Q1623556) (← links)
- Minimum density power divergence estimator for Poisson autoregressive models (Q1623690) (← links)
- Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis (Q1658309) (← links)
- Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness (Q1659142) (← links)
- Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown (Q1659146) (← links)
- Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation (Q1660129) (← links)
- Parameter change tests for ARMA-GARCH models (Q1662169) (← links)
- Monitoring parameter change for time series models with conditional heteroscedasticity (Q1672861) (← links)
- Generalized dynamic factor models and volatilities: estimation and forecasting (Q1676377) (← links)
- Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions (Q1695555) (← links)
- On model Fitting and estimation of strictly stationary processes (Q1697205) (← links)
- Quasi-maximum likelihood estimator of Laplace \((1,1)\) for GARCH models (Q1698475) (← links)
- Serial independence tests for innovations of conditional mean and variance models (Q1708359) (← links)
- GARCH option pricing models with Meixner innovations (Q1710580) (← links)
- Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization (Q1722750) (← links)