Pages that link to "Item:Q5187620"

The following pages link to ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS (Q5187620):

Displaying 26 items.

• Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model (Q286453) (← links)
• Asymptotic inference of unstable periodic ARCH processes (Q411545) (← links)
• On dynamics of volatilities in nonstationary GARCH models (Q467000) (← links)
• Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
• Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models (Q477106) (← links)
• Moment condition tests for heavy tailed time series (Q528143) (← links)
• Semi- and nonparametric ARCH processes (Q609736) (← links)
• Offline and online weighted least squares estimation of nonstationary power ARCH processes (Q634578) (← links)
• Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations (Q888322) (← links)
• GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (Q894634) (← links)
• Nonstationary GARCH with \(t\)-distributed innovations (Q1667982) (← links)
• Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions (Q1695555) (← links)
• Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases (Q1757893) (← links)
• A dynamic Markov regime-switching asymmetric GARCH model and its cumulative impulse response function (Q2138226) (← links)
• Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models (Q2454005) (← links)
• Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model (Q2807747) (← links)
• SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL (Q2826010) (← links)
• PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS (Q3108567) (← links)
• LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS (Q3450342) (← links)
• RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS (Q4554606) (← links)
• Risk forecasting in (T)GARCH models with uncorrelated dependent innovations (Q4555065) (← links)
• NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY (Q4599616) (← links)
• Asymptotics for semi-strong augmented GARCH(1,1) model (Q5046800) (← links)
• TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS (Q5199499) (← links)
• ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE (Q5403110) (← links)
• A residual bootstrap for conditional value-at-risk (Q6193032) (← links)