Pages that link to "Item:Q3142744"
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The following pages link to Temporal Aggregation of Garch Processes (Q3142744):
Displaying 50 items.
- MIDAS Regressions: Further Results and New Directions (Q130725) (← links)
- The quantilogram: with an application to evaluating directional predictability (Q288359) (← links)
- Temporal aggregation of multivariate GARCH processes (Q290974) (← links)
- Monitoring disruptions in financial markets (Q291846) (← links)
- Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks (Q295688) (← links)
- Properties of optimal forecasts under asymmetric loss and nonlinearity (Q451286) (← links)
- Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
- Aggregation and marginalization of GARCH processes: some further results (Q478343) (← links)
- Missing mean does no harm to volatility! (Q529817) (← links)
- Semi- and nonparametric ARCH processes (Q609736) (← links)
- On the use of high frequency measures of volatility in MIDAS regressions (Q726593) (← links)
- Bayesian non-parametric signal extraction for Gaussian time series (Q736535) (← links)
- Estimation of fractional integration under temporal aggregation (Q737901) (← links)
- A spectral measure for the information loss of temporal aggregation (Q777828) (← links)
- Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility (Q867688) (← links)
- Construction, management, and performance of sparse Markowitz portfolios (Q905387) (← links)
- Temporal aggregation of equity return time-series models (Q929677) (← links)
- Portfolio single index (PSI) multivariate conditional and stochastic volatility models (Q929684) (← links)
- Approximating volatility diffusions with CEV-ARCH models (Q956536) (← links)
- Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491) (← links)
- Closing the GARCH gap: Continuous time GARCH modeling (Q1126492) (← links)
- ARCH modeling in finance. A review of the theory and empirical evidence (Q1185104) (← links)
- Testing for GARCH effects: A one-sided approach (Q1298438) (← links)
- Nonparametric vector autoregression (Q1299541) (← links)
- Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models (Q1299545) (← links)
- Efficient estimation in semiparametric GARCH models (Q1372928) (← links)
- A note on the asymptotic distribution of the maxima in disaggregated time-series models. (Q1423095) (← links)
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data (Q1584769) (← links)
- Modeling long memory in stock market volatility (Q1588307) (← links)
- The uncertainty of conditional returns, volatilities and correlations in DCC models (Q1659110) (← links)
- On the univariate representation of BEKK models with common factors (Q1695673) (← links)
- Financial econometrics: Past developments and future challenges (Q1841086) (← links)
- Empirical volatility analysis: Feature detection and signal extraction with function dictionaries (Q1855542) (← links)
- Modeling the interdependence of volatility and inter-transaction duration processes. (Q1858921) (← links)
- Marginalization and contemporaneous aggregation in multivariate GARCH processes (Q1915440) (← links)
- Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes (Q1927109) (← links)
- GARCH and irregularly spaced data (Q1929030) (← links)
- Simulation analysis of threshold autoregressive unit root tests (Q1952675) (← links)
- Reconsidering the continuous time limit of the GARCH(1,1) process (Q1973432) (← links)
- Stochastic dominance efficient sets and stochastic spanning (Q2044829) (← links)
- Temporal aggregation and systematic sampling for INGARCH processes (Q2123259) (← links)
- In search of lost time aggregation (Q2179754) (← links)
- Volatility regressions with fat tails (Q2227065) (← links)
- Diversification benefits in the cryptocurrency market under mild explosivity (Q2239881) (← links)
- Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence (Q2245957) (← links)
- Statistical inference for autoregressive models under heteroscedasticity of unknown form (Q2284370) (← links)
- The risk return relationship: evidence from index returns and realised variances (Q2338525) (← links)
- Editorial: Dynamic factor models (Q2439042) (← links)
- Temporal aggregation of volatility models (Q2439047) (← links)
- GARCH models without positivity constraints: exponential or log GARCH? (Q2448408) (← links)
