The following pages link to (Q4779802):
Displaying 50 items.
- Trending time-varying coefficient time series models with serially correlated errors (Q278242) (← links)
- A stochastic volatility model with flexible extremal dependence structure (Q282541) (← links)
- Generalized R-estimators under conditional heteroscedasticity (Q289160) (← links)
- Testing multivariate distributions in GARCH models (Q291099) (← links)
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification (Q291847) (← links)
- The structure of dynamic correlations in multivariate stochastic volatility models (Q302187) (← links)
- Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization (Q490850) (← links)
- A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes (Q497491) (← links)
- Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models (Q515145) (← links)
- The HESSIAN method: highly efficient simulation smoothing, in a nutshell (Q527930) (← links)
- Missing mean does no harm to volatility! (Q529817) (← links)
- Analysis of compound bullwhip effect causes (Q541696) (← links)
- Statistical inference in partially time-varying coefficient models (Q607224) (← links)
- The economic value of volatility timing using a range-based volatility model (Q609837) (← links)
- Diagnostic checking for conditional heteroscedasticity models (Q625886) (← links)
- Maximum likelihood estimation of the double exponential jump-diffusion process (Q665791) (← links)
- Correlation and the time interval in multiple regression models (Q706923) (← links)
- Forecasting with univariate TAR models (Q713837) (← links)
- A note on parameter estimation of panel vector autoregressive models with intercorrelation (Q844045) (← links)
- Robust artificial neural networks for pricing of European options (Q853592) (← links)
- Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization (Q885779) (← links)
- Extending the volatility concept to point processes (Q928893) (← links)
- Temporal aggregation of equity return time-series models (Q929677) (← links)
- Conditional VaR estimation using Pearson's type IV distribution (Q933511) (← links)
- On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions (Q946254) (← links)
- Statistical estimation errors of VaR under ARCH returns (Q947259) (← links)
- A genetic estimation algorithm for parameters of stochastic ordinary differential equations (Q957005) (← links)
- Bootstrap prediction for returns and volatilities in GARCH models (Q959315) (← links)
- The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study (Q961410) (← links)
- Penalized spline estimation for functional coefficient regression models (Q962336) (← links)
- Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
- The Birnbaum-Saunders autoregressive conditional duration model (Q991167) (← links)
- Goodness-of-fit testing under long memory (Q993816) (← links)
- Testing for multivariate autoregressive conditional heteroskedasticity using wavelets (Q1010560) (← links)
- On the interday homogeneity in the intraday rate of trading (Q1013160) (← links)
- Modelling dynamic portfolio risk using risk drivers of elliptical processes (Q1017766) (← links)
- A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models (Q1019488) (← links)
- Measuring the efficiency of the intraday Forex market with a universal data compression algorithm (Q1020542) (← links)
- A Bayesian analysis of moving average processes with time-varying parameters (Q1020904) (← links)
- Subset selection for vector autoregressive processes using Lasso (Q1023702) (← links)
- An XML-based schema for stochastic programs (Q1026581) (← links)
- A family of autoregressive conditional duration models applied to financial data (Q1623666) (← links)
- A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices (Q1661567) (← links)
- Extended dynamic generalized linear models: the two-parameter exponential family (Q1662186) (← links)
- Kernel estimation of extreme regression risk measures (Q1697481) (← links)
- Estimating the integrated volatility with tick observations (Q1739633) (← links)
- Nonlinear time series analysis since 1990: Some personal reflections (Q1862924) (← links)
- Empirical likelihood inference for partially time-varying coefficient errors-in-variables models (Q1950849) (← links)
- Empirical likelihood ratio tests for multivariate regression models (Q1956533) (← links)
- Estimation and test of jump discontinuities in varying coefficient models with empirical applications (Q2002725) (← links)
