Pages that link to "Item:Q3646948"

The following pages link to Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes (Q3646948):

Displayed 30 items.

• Testing the constancy of Spearman's rho in multivariate time series (Q314566) ‎ (← links)
• A nonlinear model for long-memory conditional heteroscedasticity (Q327174) ‎ (← links)
• Testing for prospect and Markowitz stochastic dominance efficiency (Q524818) ‎ (← links)
• Towards estimating extremal serial dependence via the bootstrapped extremogram (Q528029) ‎ (← links)
• A modified functional delta method and its application to the estimation of risk functionals (Q604360) ‎ (← links)
• Semi- and nonparametric ARCH processes (Q609736) ‎ (← links)
• Mixing properties of ARCH and time-varying ARCH processes (Q637105) ‎ (← links)
• Sensitivity of risk measures with respect to the normal approximation of total claim distributions (Q654808) ‎ (← links)
• Stationarity and geometric ergodicity of BEKK multivariate GARCH models (Q719379) ‎ (← links)
• Inference in VARs with conditional heteroskedasticity of unknown form (Q898587) ‎ (← links)
• Limit theory for explosive autoregression under conditional heteroskedasticity (Q1642735) ‎ (← links)
• ARCH model and fractional Brownian motion (Q1698250) ‎ (← links)
• Consistency of minimum description length model selection for piecewise stationary time series models (Q1951119) ‎ (← links)
• General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator (Q2044417) ‎ (← links)
• On bandwidth selection problems in nonparametric trend estimation under martingale difference errors (Q2073219) ‎ (← links)
• An asymptotic test for constancy of the variance under short-range dependence (Q2073717) ‎ (← links)
• A factor-GARCH model for high dimensional volatilities (Q2155653) ‎ (← links)
• Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds (Q2198603) ‎ (← links)
• On the ARCH model with stationary liquidity (Q2227202) ‎ (← links)
• Inference for performance measures for financial assets (Q2515379) ‎ (← links)
• Bridge Estimation for Linear Regression Models with Mixing Properties (Q2802877) ‎ (← links)
• Absolute regularity of semi-contractive GARCH-type processes (Q4968513) ‎ (← links)
• Necessary and sufficient conditions for the identifiability of observation‐driven models (Q4997691) ‎ (← links)
• The use of aggregate time series for testing conditional heteroscedasticity (Q5058308) ‎ (← links)
• A bootstrap bias correction of long run fourth order moment estimation in the CUSUM of squares test (Q5107751) ‎ (← links)
• Data cloning estimation of GARCH and COGARCH models (Q5220829) ‎ (← links)
• ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS (Q5247357) ‎ (← links)
• Adaptive LASSO estimation for ARDL models with GARCH innovations (Q5864640) ‎ (← links)
• Root-\(T\) consistent density estimation in GARCH models (Q5964750) ‎ (← links)
• Testing conditional heteroscedasticity with systematic sampling of time series (Q6115031) ‎ (← links)