Pages that link to "Item:Q4561954"
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The following pages link to ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (Q4561954):
Displaying 50 items.
- A component model for dynamic correlations (Q128853) (← links)
- Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity (Q278492) (← links)
- On Fréchet autoregressive conditional duration models (Q282897) (← links)
- Bootstrap refinements for QML estimators of the GARCH(1,1) parameters (Q295411) (← links)
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
- Inference and testing on the boundary in extended constant conditional correlation GARCH models (Q341884) (← links)
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models (Q451281) (← links)
- A bootstrapped spectral test for adequacy in weak ARMA models (Q494376) (← links)
- Tests for conditional ellipticity in multivariate GARCH models (Q503569) (← links)
- Asymptotic optimal inference for multivariate branching-Markov processes via martingale estimating functions and mixed normality (Q538181) (← links)
- Wavelet-based multi-resolution GARCH model for financial spillover effects (Q554615) (← links)
- Joint modeling of cointegration and conditional heteroscedasticity with applications (Q816593) (← links)
- Forecasting conditional correlations in stock, bond and foreign exchange markets (Q834304) (← links)
- On asymptotic theory for multivariate GARCH models (Q842922) (← links)
- HAC estimation and strong linearity testing in weak ARMA models (Q860337) (← links)
- Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations (Q888322) (← links)
- Inference in VARs with conditional heteroskedasticity of unknown form (Q898587) (← links)
- Estimating VAR-MGARCH models in multiple steps (Q905385) (← links)
- Test for parameter change in ARMA models with GARCH innovations (Q947213) (← links)
- The asymptotic convexity of the negative likelihood function of GARCH models (Q959162) (← links)
- Testing for multivariate autoregressive conditional heteroskedasticity using wavelets (Q1010560) (← links)
- Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations (Q1021853) (← links)
- A generalized dynamic conditional correlation model for portfolio risk evaluation (Q1025339) (← links)
- Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models (Q1631205) (← links)
- Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown (Q1659146) (← links)
- Parameter change tests for ARMA-GARCH models (Q1662169) (← links)
- Asymptotic theory for regressions with smoothly changing parameters (Q1695562) (← links)
- Asymptotics of Cholesky GARCH models and time-varying conditional betas (Q1753058) (← links)
- A robust LR test for the GARCH model (Q1927913) (← links)
- A scalar dynamic conditional correlation model: structure and estimation (Q1989915) (← links)
- The long memory HEAVY process: modeling and forecasting financial volatility (Q2070693) (← links)
- Estimation of multivariate asymmetric power GARCH models (Q2079614) (← links)
- Identification of structural multivariate GARCH models (Q2116335) (← links)
- Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models (Q2116337) (← links)
- Self-weighted quantile estimation of autoregressive conditional duration model (Q2126020) (← links)
- Inference and model selection in general causal time series with exogenous covariates (Q2136604) (← links)
- Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crisis (Q2151660) (← links)
- Multivariate hyper-rotated GARCH-BEKK (Q2151746) (← links)
- A factor-GARCH model for high dimensional volatilities (Q2155653) (← links)
- Consistent model selection criteria and goodness-of-fit test for common time series models (Q2180087) (← links)
- Volatility spillovers from the Chinese stock market to economic neighbours (Q2227449) (← links)
- Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations (Q2254285) (← links)
- Consistent non-Gaussian pseudo maximum likelihood estimators (Q2280575) (← links)
- Factor double autoregressive models with application to simultaneous causality testing (Q2437865) (← links)
- Sequential estimation of shape parameters in multivariate dynamic models (Q2453083) (← links)
- An empirical evaluation of fat-tailed distributions in modeling financial time series (Q2479445) (← links)
- Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance (Q2513786) (← links)
- Weighted least absolute deviations estimation for periodic ARMA models (Q2516021) (← links)
- Testing for misspecification in the short-run component of GARCH-type models (Q2691778) (← links)
- Specification testing in nonparametric AR‐ARCH models (Q4629272) (← links)
