Pages that link to "Item:Q1807140"
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The following pages link to The sample autocorrelations of heavy-tailed processes with applications to ARCH (Q1807140):
Displayed 50 items.
- Functional weak convergence of partial maxima processes (Q262528) (← links)
- A central limit theorem for the sample autocorrelations of a Lévy driven continuous time moving average process (Q389248) (← links)
- Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations (Q391793) (← links)
- Trimmed stable AR(1) processes (Q404137) (← links)
- Relative stability in strictly stationary random sequences (Q436291) (← links)
- Rare-event asymptotics for the number of exceedances of multiplicative factor models (Q497492) (← links)
- Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes (Q605036) (← links)
- The extremogram: a correlogram for extreme events (Q605880) (← links)
- A functional limit theorem for dependent sequences with infinite variance stable limits (Q690870) (← links)
- Stable limits for sums of dependent infinite variance random variables (Q718889) (← links)
- Regular variation of order 1 nonlinear AR-ARCH models (Q886112) (← links)
- Convergence to Lévy stable processes under some weak dependence conditions (Q988675) (← links)
- Estimating the multivariate extremal index function (Q1002535) (← links)
- Subsampling tests for the mean change point with heavy-tailed innovations (Q1013151) (← links)
- Regularly varying multivariate time series (Q1016605) (← links)
- Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations (Q1021853) (← links)
- Break detection in the covariance structure of multivariate time series models (Q1043722) (← links)
- Convergence of point processes with weakly dependent points (Q1047155) (← links)
- The sample ACF of a simple bilinear process (Q1613623) (← links)
- Whittle estimation in a heavy-tailed GARCH(1,1) model. (Q1766031) (← links)
- Regular variation of GARCH processes. (Q1766073) (← links)
- Strongly consistent nonparametric forecasting and regression for stationary ergodic sequences. (Q1808834) (← links)
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process. (Q1848834) (← links)
- Empirical process of the squared residuals of an ARCH sequence (Q1848867) (← links)
- A model for long memory conditional heteroscedasticity. (Q1872488) (← links)
- The supremum of a negative drift random walk with dependent heavy-tailed steps. (Q1872494) (← links)
- The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes (Q1955845) (← links)
- The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains (Q2249585) (← links)
- Serial dependence in ARCH-models as measured by tail dependence coefficients (Q2271709) (← links)
- A multivariate functional limit theorem in weak \(M_1\) topology (Q2346974) (← links)
- Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model (Q2347462) (← links)
- Analytically pricing volatility swaps under stochastic volatility (Q2351082) (← links)
- Stochastic volatility models with possible extremal clustering (Q2435218) (← links)
- Temporal aggregation of volatility models (Q2439047) (← links)
- The convex hull of consecutive pairs of observations from some time series models (Q2443887) (← links)
- Measures of serial extremal dependence and their estimation (Q2447645) (← links)
- Characterizations and examples of hidden regular variation (Q2488443) (← links)
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters (Q2493561) (← links)
- On functional limits of short- and long-memory linear processes with GARCH(1,1) noises (Q2512843) (← links)
- Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations (Q2571701) (← links)
- Asymptotics of regressions with stationary and nonstationary residuals. (Q2574563) (← links)
- TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD (Q2890704) (← links)
- Auto-tail Dependence Coefficients for Stationary Solutions of Linear Stochastic Recurrence Equations and for GARCH(1,1) (Q2904885) (← links)
- Limit theory for a general class of GARCH models with just barely infinite variance (Q2930910) (← links)
- Measuring nonlinear dependence in time-series, a distance correlation approach (Q2931592) (← links)
- Estimation and Asymptotic Inference in the AR-ARCH Model (Q3086362) (← links)
- The Extremal Dependence Measure and Asymptotic Independence (Q3157856) (← links)
- ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES (Q3450350) (← links)
- A quadratic ARCH(∞) model with long memory and Lévy stable behavior of squares (Q3603204) (← links)
- LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS (Q4817431) (← links)