Pages that link to "Item:Q1879947"
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The following pages link to The efficiency of the estimators of the parameters in GARCH processes. (Q1879947):
Displayed 50 items.
- On the tail index inference for heavy-tailed GARCH-type innovations (Q263253) (← links)
- Statistical inference for nonparametric GARCH models (Q311986) (← links)
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models (Q451281) (← links)
- Asymptotic theory for fractionally integrated asymmetric power ARCH models (Q452996) (← 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)
- Normality test for multivariate conditional heteroskedastic dynamic regression models (Q533940) (← links)
- NM-QELE for ARMA-GARCH models with non-Gaussian innovations (Q534428) (← links)
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models (Q651027) (← links)
- Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE (Q738084) (← links)
- Semiparametric inference in a GARCH-in-mean model (Q738173) (← links)
- Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations (Q888322) (← links)
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (Q894634) (← links)
- Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions (Q927367) (← links)
- Comparison of specification tests for GARCH models (Q1623530) (← links)
- Linking Tukey's legacy to financial risk measurement (Q1659149) (← links)
- Parameter change tests for ARMA-GARCH models (Q1662169) (← links)
- Nonstationary GARCH with \(t\)-distributed innovations (Q1667982) (← links)
- The ZD-GARCH model: a new way to study heteroscedasticity (Q1680184) (← links)
- Estimation of the tail exponent of multivariate regular variation (Q1680794) (← links)
- Tail behavior and dependence structure in the APARCH model (Q1695685) (← links)
- Quasi-maximum likelihood estimator of Laplace \((1,1)\) for GARCH models (Q1698475) (← links)
- Detecting structural breaks in realized volatility (Q1727922) (← links)
- Testing for parameter constancy in GARCH\((p,q)\) models (Q1767739) (← links)
- Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model (Q1786796) (← links)
- Specification tests for the error distribution in GARCH models (Q1927139) (← links)
- Statistical inference for non-stationary GARCH(\(p\),\(q\)) models (Q1952010) (← links)
- Asymptotic normality of the MLE in the level-effect ARCH model (Q2066488) (← links)
- LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise (Q2116336) (← links)
- Bootstrap based probability forecasting in multiplicative error models (Q2224997) (← links)
- Test for tail index constancy of GARCH innovations based on conditional volatility (Q2317888) (← links)
- Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes (Q2343638) (← links)
- Residual-based rank specification tests for AR-GARCH type models (Q2343810) (← links)
- High moment partial sum processes of residuals in GARCH models and their applications (Q2368858) (← links)
- Estimation in a class of nonlinear heteroscedastic time series models (Q2426824) (← links)
- Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models (Q2454005) (← links)
- A note on the Jarque-Bera normality test for GARCH innovations (Q2510920) (← links)
- On the empirical characteristic function process of the residuals in GARCH models and applications (Q2513933) (← links)
- Robust estimation and inference for heavy tailed GARCH (Q2515512) (← links)
- Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero (Q2642035) (← links)
- Outliers and misleading leverage effect in asymmetric GARCH-type models (Q2699591) (← links)
- TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS (Q2801995) (← links)
- Quantile Regression for Location‐Scale Time Series Models with Conditional Heteroscedasticity (Q2821474) (← links)
- ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS (Q2845022) (← links)
- Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model (Q2868871) (← links)
- Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameters (Q2914954) (← links)
- On the efficiency of a semi‐parametric GARCH model (Q3018505) (← links)
- Time series models with asymmetric Laplace innovations (Q3070611) (← links)
- Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes (Q3077640) (← links)