Pages that link to "Item:Q3756387"
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The following pages link to Modelling the persistence of conditional variances (Q3756387):
Displayed 50 items.
- Fractionally integrated time varying GARCH model (Q257572) (← links)
- Neglecting parameter changes in GARCH models (Q265108) (← links)
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models (Q269236) (← links)
- Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates (Q289183) (← links)
- Estimation and tests for power-transformed and threshold GARCH models (Q290965) (← links)
- Granger causality in risk and detection of extreme risk spillover between financial markets (Q302200) (← links)
- Index-option pricing with stochastic volatility and the value of accurate variance forecasts (Q375251) (← links)
- Level changes in volatility models (Q470520) (← links)
- Multi-scale tests for serial correlation (Q473345) (← links)
- GARCH with omitted persistent covariate (Q485597) (← links)
- R-estimation in semiparametric dynamic location-scale models (Q503558) (← links)
- On loss functions and ranking forecasting performances of multivariate volatility models (Q528161) (← links)
- Minimum density power divergence estimator for GARCH models (Q619106) (← links)
- On the sample variance of explosive random coefficient autoregressive processes (Q654252) (← links)
- Rational bubbles. A test (Q690172) (← links)
- Exploring exchange rate returns at different time horizons (Q699145) (← links)
- Integrated variance forecasting: model based vs. reduced form (Q737909) (← links)
- Joint modeling of cointegration and conditional heteroscedasticity with applications (Q816593) (← links)
- Is volatility the best predictor of market crashes? (Q816771) (← links)
- Modeling stock markets' volatility using GARCH models with normal, Student's \(t\) and stable Paretian distributions (Q840975) (← links)
- Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution (Q921792) (← links)
- On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions (Q946254) (← links)
- An option pricing formula for the GARCH diffusion model (Q957204) (← links)
- Multiscale local change point detection with applications to value-at-risk (Q1018645) (← links)
- Covariance stationary GARCH-family models with long memory property (Q1031773) (← links)
- Exact predictive densities for linear models with ARCH disturbances (Q1118320) (← links)
- Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491) (← links)
- ARCH modeling in finance. A review of the theory and empirical evidence (Q1185104) (← links)
- Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model (Q1185106) (← links)
- Prediction in dynamic models with time-dependent conditional variances (Q1185107) (← links)
- Stationarity of GARCH processes and of some nonnegative time series (Q1185109) (← links)
- Qualitative threshold ARCH models (Q1185111) (← links)
- The GARCH (1,1)-\(M\) model: results for the densities of the variance and the mean (Q1293814) (← links)
- Long-term equity anticipation securities and stock market volatility dynamics (Q1302760) (← links)
- Local scale models. State space alternative to integraded GARCH processes (Q1318993) (← links)
- Pricing of permanent and transitory volatility for U.S. stock returns. A composite GARCH model (Q1327978) (← links)
- Stochastic volatility in asset prices. Estimation with simulated maximum likelihood (Q1341202) (← links)
- Heteroscedasticity in non-stationary time series, some Monte Carlo evidence (Q1342771) (← links)
- The persistence in volatility of the US term premium 1970--1986 (Q1352231) (← links)
- The random difference equation \(X_ n = A_ n X_{n-1} + B_ n\) in the critical case (Q1356352) (← links)
- A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model (Q1359748) (← links)
- Geometric ergodicity of a general ARCH type model (Q1369769) (← links)
- Efficient estimation in semiparametric GARCH models (Q1372928) (← links)
- Simulated maximum likelihood in nonlinear continuous-discrete state space models: importance sampling by approximate smoothing (Q1424631) (← links)
- Explaining bond returns in heterogeneous agent models: The importance of higher-order moments (Q1575613) (← links)
- Arch model with Box-Cox transformed dependent variable (Q1593723) (← links)
- Genetic modelling of multivariate EGARCHX-processes: evidence on the international asset return signal response mechanism (Q1603562) (← links)
- Forecasting exchange rate volatility. (Q1603860) (← links)
- Stochastic model of financial markets reproducing scaling and memory in volatility return intervals (Q1619951) (← links)
- Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown (Q1659146) (← links)