Pages that link to "Item:Q1858910"

The following pages link to Stationarity and the existence of moments of a family of GARCH processes. (Q1858910):

Displaying 50 items.

• An econometric analysis of asymmetric volatility: theory and application to patents (Q280248) (← links)
• Asymmetric GARCH processes featuring both threshold effect and bilinear structure (Q419142) (← links)
• On dynamics of volatilities in nonstationary GARCH models (Q467000) (← links)
• NM-QELE for ARMA-GARCH models with non-Gaussian innovations (Q534428) (← links)
• Semi- and nonparametric ARCH processes (Q609736) (← links)
• A note on Jarque-Bera normality test for ARMA-GARCH innovations (Q744734) (← links)
• Statistical inference for conditional quantiles in nonlinear time series models (Q888341) (← links)
• Inference in VARs with conditional heteroskedasticity of unknown form (Q898587) (← links)
• \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors (Q898600) (← links)
• Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk (Q929674) (← links)
• Multivariate volatility in environmental finance (Q929681) (← links)
• Portfolio single index (PSI) multivariate conditional and stochastic volatility models (Q929684) (← links)
• How has volatility in metals markets changed? (Q929691) (← links)
• Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach (Q929743) (← links)
• On the existence of higher-order moments of periodic GARCH models (Q958952) (← links)
• A double-threshold GARCH model of stock market and currency shocks on stock returns (Q960342) (← links)
• Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model (Q960349) (← links)
• Stationarity and geometric ergodicity of a class of nonlinear ARCH models (Q997428) (← links)
• Augmented GARCH sequences: Dependence structure and asymptotics (Q1002569) (← links)
• Modelling risk in agricultural finance: Application to the poultry industry in Taiwan (Q1005189) (← links)
• A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models (Q1019488) (← links)
• Modelling the asymmetric volatility of electronics patents in the USA. (Q1418619) (← links)
• Fat tails and asymmetry in financial volatility models. (Q1427747) (← links)
• Shifts in volatility driven by large stock market shocks (Q1657558) (← links)
• The fine-structure of volatility feedback. I: Multi-scale self-reflexivity (Q1782966) (← links)
• Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility (Q1927544) (← links)
• Forecasting volatility in bitcoin market (Q2022929) (← links)
• Testing the existence of moments for GARCH processes (Q2116322) (← links)
• LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise (Q2116336) (← links)
• Consistent order selection for ARFIMA processes (Q2148974) (← 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)
• A detailed comparison of value at risk estimates (Q2227451) (← links)
• Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes (Q2270866) (← links)
• A stochastic dominance approach to financial risk management strategies (Q2347722) (← links)
• Could the jump diffusion technique enhance the effectiveness of futures hedging models? A reality test (Q2390405) (← links)
• Stability of random coefficient ARCH models and aggregation schemes (Q2439054) (← links)
• Asymptotic spectral theory for nonlinear time series (Q2456020) (← links)
• Comparative analysis of risk ratings for the East European region (Q2486189) (← links)
• Related commodity markets and conditional correlations (Q2486205) (← links)
• Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations (Q2486212) (← links)
• Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data (Q2700531) (← links)
• GARCH options via local risk minimization (Q2873537) (← links)
• LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES (Q2886971) (← links)
• Limit theory for a general class of GARCH models with just barely infinite variance (Q2930910) (← links)
• Irreducibility and continuity assumptions for positive operators with application to threshold GARCH time series models (Q2996569) (← links)
• A decision rule to minimize daily capital charges in forecasting value-at-risk (Q3065548) (← links)
• Univariate and Multivariate Value-at-Risk: Application and Implication in Energy Markets (Q3087577) (← links)
• Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments (Q3182771) (← links)
• Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility (Q3394105) (← links)