Pages that link to "Item:Q2813909"

The following pages link to Least absolute deviations estimation for ARCH and GARCH models (Q2813909):

Displayed 50 items.

• Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations (Q276934) ‎ (← links)
• On Fréchet autoregressive conditional duration models (Q282897) ‎ (← links)
• Estimation and tests for power-transformed and threshold GARCH models (Q290965) ‎ (← links)
• Composite quantile regression estimation for P-GARCH processes (Q295137) ‎ (← links)
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models (Q451281) ‎ (← links)
• Robust score and portmanteau tests of volatility spillover (Q473342) ‎ (← links)
• The relationship between the absolute deviation from a quantile and Gini's mean difference (Q478477) ‎ (← links)
• R-estimation in semiparametric dynamic location-scale models (Q503558) ‎ (← links)
• Empirical likelihood for AR-ARCH models based on LAD estimation (Q511188) ‎ (← links)
• Moment condition tests for heavy tailed time series (Q528143) ‎ (← links)
• Nonlinear time series modeling and forecasting for periodic and arch effects (Q538220) ‎ (← links)
• Semi- and nonparametric ARCH processes (Q609736) ‎ (← links)
• Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models (Q651027) ‎ (← 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)
• Robust estimates for GARCH models (Q935425) ‎ (← links)
• Conditional variance estimation in heteroscedastic regression models (Q958779) ‎ (← links)
• Robust and efficient estimation with weighted composite quantile regression (Q1619607) ‎ (← links)
• Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness (Q1659142) ‎ (← links)
• The ZD-GARCH model: a new way to study heteroscedasticity (Q1680184) ‎ (← links)
• The dynamic and dependence of takaful and conventional stock return behaviours: evidence from the insurance industry in Saudi Arabia (Q1757620) ‎ (← links)
• Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity (Q2280590) ‎ (← links)
• Test for tail index constancy of GARCH innovations based on conditional volatility (Q2317888) ‎ (← links)
• M-estimation for periodic GARCH model with high-frequency data (Q2401782) ‎ (← links)
• Estimation in a class of nonlinear heteroscedastic time series models (Q2426824) ‎ (← links)
• Least absolute deviation estimation of autoregressive conditional duration model (Q2431048) ‎ (← links)
• Robust M-estimation of multivariate GARCH models (Q2445701) ‎ (← links)
• On the empirical characteristic function process of the residuals in GARCH models and applications (Q2513933) ‎ (← links)
• Semiparametric GEE analysis in partially linear single-index models for longitudinal data (Q2515493) ‎ (← links)
• Robust estimation and inference for heavy tailed GARCH (Q2515512) ‎ (← links)
• Robust \(M\)-estimate of GJR model with high frequency data (Q2516046) ‎ (← links)
• Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model (Q2807747) ‎ (← links)
• APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS (Q2810372) ‎ (← links)
• SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL (Q2826010) ‎ (← links)
• Adaptive quasi-maximum likelihood estimation of GARCH models with Student’s<i>t</i>likelihood (Q2830196) ‎ (← links)
• Smoothed empirical likelihood for GARCH models with heavy-tailed errors (Q2834728) ‎ (← links)
• A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach (Q2852494) ‎ (← links)
• Limit theory for a general class of GARCH models with just barely infinite variance (Q2930910) ‎ (← links)
• Time series models with asymmetric Laplace innovations (Q3070611) ‎ (← links)
• On stationarity and ergodicity of the bilinear model with applications to GARCH models (Q3077644) ‎ (← links)
• RANK-BASED ESTIMATION FOR GARCH PROCESSES (Q3168422) ‎ (← links)
• LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS (Q3450342) ‎ (← links)
• A Gini Autocovariance Function for Time Series Modelling (Q3452743) ‎ (← links)
• Estimating GARCH models: when to use what? (Q3499426) ‎ (← links)
• <i>M</i>-ESTIMATION IN GARCH MODELS (Q3551008) ‎ (← links)
• Modelling Multivariate Volatilities via Conditionally Uncorrelated Components (Q3631467) ‎ (← links)
• ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES (Q3632423) ‎ (← links)
• Quantile Regression Estimator for GARCH Models (Q4911963) ‎ (← links)
• Diagnostic Checking for GARCH-Type Models (Q4921650) ‎ (← links)
• UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL (Q4933588) ‎ (← links)