Pages that link to "Item:Q4883104"
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The following pages link to Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models (Q4883104):
Displayed 50 items.
- Fractionally integrated time varying GARCH model (Q257572) (← links)
- Neglecting parameter changes in GARCH models (Q265108) (← links)
- Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity (Q278492) (← links)
- Bootstrap refinements for QML estimators of the GARCH(1,1) parameters (Q295411) (← links)
- Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root (Q295710) (← links)
- Maximum entropy autoregressive conditional heteroskedasticity model (Q302193) (← links)
- Granger causality in risk and detection of extreme risk spillover between financial markets (Q302200) (← links)
- Asymptotics for parametric GARCH-in-mean models (Q308384) (← links)
- Statistical inference for nonparametric GARCH models (Q311986) (← links)
- A goodness-of-fit test for GARCH innovation density (Q434239) (← links)
- Efficient likelihood estimation in state space models (Q449965) (← links)
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models (Q451281) (← links)
- On dynamics of volatilities in nonstationary GARCH models (Q467000) (← links)
- Level changes in volatility models (Q470520) (← links)
- Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models (Q477106) (← links)
- A semiparametric conditional duration model (Q485700) (← links)
- An ARCH model without intercept (Q500477) (← links)
- On approximate pseudo-maximum likelihood estimation for LARCH-processes (Q605885) (← links)
- Semi- and nonparametric ARCH processes (Q609736) (← links)
- Offline and online weighted least squares estimation of nonstationary power ARCH processes (Q634578) (← links)
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models (Q651027) (← links)
- Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE (Q738084) (← links)
- ARCH/GARCH with persistent covariate: asymptotic theory of MLE (Q738138) (← links)
- Semiparametric inference in a GARCH-in-mean model (Q738173) (← links)
- Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients (Q849863) (← links)
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach (Q869981) (← links)
- Statistical inference for conditional quantiles in nonlinear time series models (Q888341) (← links)
- Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions (Q927367) (← links)
- A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity (Q946272) (← links)
- Score test of fit for composite hypothesis in the GARCH\((1,1)\) model (Q958816) (← links)
- Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491) (← links)
- Testing for GARCH effects: A one-sided approach (Q1298438) (← links)
- Gaussian inference on certain long-range dependent volatility models (Q1398961) (← links)
- \(L_{p}\)-estimators in ARCH models (Q1417811) (← links)
- The rate of consistency of the quasi-maximum likelihood estimator. (Q1424476) (← links)
- Fat tails and asymmetry in financial volatility models. (Q1427747) (← links)
- Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns (Q1604080) (← links)
- Coefficient constancy test in AR-ARCH models (Q1613041) (← links)
- Semiparametric score driven volatility models (Q1659100) (← links)
- Quasi-maximum likelihood estimator of Laplace \((1,1)\) for GARCH models (Q1698475) (← links)
- Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model (Q1726177) (← links)
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models (Q1746551) (← links)
- Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases (Q1757893) (← links)
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (Q1763105) (← links)
- Whittle estimation in a heavy-tailed GARCH(1,1) model. (Q1766031) (← links)
- Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes (Q1782687) (← links)
- Efficiency comparisons of maximum-likelihood-based estimators in GARCH models (Q1808557) (← links)
- Asymptotic theory for multivariate GARCH processes. (Q1867194) (← links)
- The efficiency of the estimators of the parameters in GARCH processes. (Q1879947) (← links)
- Modeling and pricing long memory in stock market volatility (Q1922362) (← links)
