Pages that link to "Item:Q1872440"

The following pages link to The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors (Q1872440):

Displaying 50 items.

• Tail index of asymptotically homogeneous Markov chains (Q392704) (← links)
• Autocopulas: investigating the interdependence structure of stationary time series (Q430873) (← links)
• Structure of a double autoregressive process driven by a hidden Markov chain (Q449432) (← links)
• Local GMM estimation of time series models with conditional moment restrictions (Q528061) (← links)
• Tail behaviour of \(\beta \)-TARCH models (Q613157) (← links)
• High-level dependence in time series models (Q650680) (← links)
• Heavy tail phenomenon and convergence to stable laws for iterated Lipschitz maps (Q662826) (← links)
• On Kesten's counterexample to the Cramér-Wold device for regular variation (Q850734) (← links)
• Regular variation of order 1 nonlinear AR-ARCH models (Q886112) (← links)
• On the stationary tail index of iterated random Lipschitz functions (Q898406) (← links)
• Iterated random functions and slowly varying tails (Q901296) (← links)
• Conditional variance estimation in heteroscedastic regression models (Q958779) (← links)
• Renewal theory for functionals of a Markov chain with compact state space. (Q1433900) (← links)
• A note on a simple Markov bilinear stochastic process (Q1613001) (← links)
• Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data (Q1744230) (← links)
• Stability and the Lyapounov exponent of threshold AR-ARCH models (Q1769418) (← links)
• The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model. (Q1879899) (← links)
• Strict stationarity testing and GLAD estimation of double autoregressive models (Q2000866) (← links)
• State-discretization of \(V\)-geometrically ergodic Markov chains and convergence to the stationary distribution (Q2218826) (← links)
• Stationary bubble equilibria in rational expectation models (Q2227066) (← links)
• Non-standard inference for augmented double autoregressive models with null volatility coefficients (Q2295807) (← links)
• Factor double autoregressive models with application to simultaneous causality testing (Q2437865) (← links)
• Extremes of a class of deterministic sub-sampled processes with applications to stochastic difference equations (Q2485834) (← links)
• On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process (Q2497786) (← links)
• Asymptotics of regressions with stationary and nonstationary residuals. (Q2574563) (← links)
• NON-STATIONARITY AND QUASI-MAXIMUM LIKELIHOOD ESTIMATION ON A DOUBLE AUTOREGRESSIVE MODEL (Q2936569) (← links)
• EMPIRICAL-LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR CONDITIONAL VARIANCE IN HETEROSKEDASTIC REGRESSION MODELS (Q3081463) (← links)
• ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES (Q3408523) (← links)
• Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models (Q3505317) (← links)
• Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models (Q3590747) (← links)
• A light-tailed conditionally heteroscedastic model with applications to river flows (Q3608186) (← links)
• Local Estimation in AR Models with Nonparametric ARCH Errors (Q3634559) (← links)
• Testing for reduction to random walk in autoregressive conditional heteroskedasticity models (Q4416017) (← links)
• On the uniform ergodicity of Markov processes of order 2 (Q4435687) (← links)
• A note on invariance principles for iterated random functions (Q4462712) (← links)
• TAIL INDEX OF AN AR(1) MODEL WITH ARCH(1) ERRORS (Q4979320) (← links)
• Random coefficient autoregressive processes and the PUCK model with fluctuating potential (Q5006887) (← links)
• Mixtures of autoregressive-autoregressive conditionally heteroscedastic models: semi-parametric approach (Q5128578) (← links)
• TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS (Q5199499) (← links)
• Local M-estimation for Conditional Variance in Heteroscedastic Regression Models (Q5249173) (← links)
• A Family of Markov‐Switching Garch Processes (Q5397964) (← links)
• A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS (Q5859567) (← links)
• Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors (Q5860900) (← links)
• Double AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity (Q5860916) (← links)
• Sample path properties of an explosive double autoregressive model (Q5862481) (← links)
• Asymptotically linear iterated function systems on the real line (Q6103966) (← links)
• Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations (Q6138256) (← links)
• Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models (Q6175549) (← links)
• Count-valued time series models for COVID-19 daily death dynamics (Q6541782) (← links)
• Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models (Q6616615) (← links)