The following pages link to GARCH Models (Q5222822):
Displaying 50 items.
- A note on portmanteau tests for conditional heteroscedastistic models (Q777693) (← links)
- A note on the QMLE limit theory in the non-stationary ARCH(1) model (Q1695669) (← links)
- Forecasting of global market prices of major financial instruments (Q2004258) (← links)
- Sequential change point test in the presence of outliers: the density power divergence based approach (Q2044423) (← links)
- M-estimate for the stationary hyperbolic GARCH models (Q2070660) (← links)
- Lasso regression and its application in forecasting macro economic indicators: a study on Vietnam's exports (Q2086244) (← links)
- Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes (Q2103984) (← links)
- Portmanteau test for the asymmetric power GARCH model when the power is unknown (Q2151687) (← links)
- Goodness-of-fit tests for SPARMA models with dependent error terms (Q2151745) (← 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)
- Virtual historical simulation for estimating the conditional VaR of large portfolios (Q2190229) (← links)
- High-dimensional VAR with low-rank transition (Q2195856) (← links)
- Functional ARCH and GARCH models: a Yule-Walker approach (Q2219213) (← links)
- Estimating FARIMA models with uncorrelated but non-independent error terms (Q2243555) (← links)
- Multivariate count autoregression (Q2278669) (← links)
- Statistical inference for autoregressive models under heteroscedasticity of unknown form (Q2284370) (← links)
- Commercial and residential mortgage defaults: spatial dependence with frailty (Q2323366) (← links)
- On score vector- and residual-based CUSUM tests in ARMA-GARCH models (Q2324264) (← links)
- The tail empirical process for long memory stochastic volatility models with leverage (Q2326064) (← links)
- Root-\(n\) consistent estimation of the marginal density in semiparametric autoregressive time series models (Q2419671) (← links)
- On portmanteau-type tests for nonlinear multivariate time series (Q2692931) (← links)
- Bayesian analysis of periodic asymmetric power GARCH models (Q2697099) (← links)
- Conditional asymmetry in power ARCH\((\infty)\) models (Q2697981) (← links)
- Pseudo maximum likelihood estimation of the univariate GARCH (2,2) and asymptotic normality under dependent innovations (Q4605236) (← links)
- Absolute regularity of semi-contractive GARCH-type processes (Q4968513) (← links)
- Two Cholesky-log-GARCH models for multivariate volatilities (Q4971416) (← links)
- COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS (Q4993887) (← links)
- Integer‐valued asymmetric garch modeling (Q5012864) (← links)
- Periodic autoregressive conditional duration (Q5030949) (← links)
- LEAST SQUARES AND IVX LIMIT THEORY IN SYSTEMS OF PREDICTIVE REGRESSIONS WITH GARCH INNOVATIONS (Q5051517) (← links)
- METHOD OF MOMENTS ESTIMATION FOR LÉVY-DRIVEN ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODELS (Q5051950) (← links)
- The use of aggregate time series for testing conditional heteroscedasticity (Q5058308) (← links)
- CHARACTERIZATION OF THE TAIL BEHAVIOR OF A CLASS OF BEKK PROCESSES: A STOCHASTIC RECURRENCE EQUATION APPROACH (Q5065457) (← links)
- Oracally efficient estimation and testing for an ARCH model with trend (Q5078550) (← links)
- Asymmetric linear double autoregression (Q5095288) (← links)
- Stationarity and ergodicity of Markov switching positive conditional mean models (Q5095291) (← links)
- A new GJR‐GARCH model for ℤ‐valued time series (Q5095294) (← links)
- QUANTILE DOUBLE AUTOREGRESSION (Q5104481) (← links)
- Empirical characteristic function tests for GARCH innovation distribution using multipliers (Q5106912) (← links)
- Robust bootstrap forecast densities for GARCH returns and volatilities (Q5106994) (← links)
- Bootstrap prediction intervals for autoregressive conditional duration models (Q5107501) (← links)
- Location Multiplicative Error Models with Quasi Maximum Likelihood Estimation (Q5111852) (← links)
- On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models (Q5135327) (← links)
- A robust statistical approach to select adequate error distributions for financial returns (Q5138523) (← links)
- Data cloning estimation of GARCH and COGARCH models (Q5220829) (← links)
- Prediction of time series by statistical learning: general losses and fast rates (Q5417591) (← links)
- (Q5860429) (← links)
- Jump detection in high-frequency financial data using wavelets (Q5880608) (← links)
- A NEGATIVE BINOMIAL AUTOREGRESSION WITH A LINEAR CONDITIONAL VARIANCE-TO-MEAN FUNCTION (Q5880730) (← links)
