The following pages link to (Q5445942):
Displaying 50 items.
- A wavelet-based approach for imputation in nonstationary multivariate time series (Q100112) (← links)
- Testing normality: a GMM approach (Q261889) (← links)
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models (Q269236) (← links)
- A stochastic flows approach for asset allocation with hidden economic environment (Q274851) (← links)
- Semiparametric efficient adaptive estimation of asymmetric GARCH models (Q274928) (← links)
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations (Q276934) (← links)
- MCMC maximum likelihood for latent state models (Q276938) (← links)
- Aggregation and memory of models of changing volatility (Q278251) (← links)
- A stochastic volatility model with flexible extremal dependence structure (Q282541) (← links)
- A goodness-of-fit test for ARCH(\(\infty\)) models (Q289186) (← links)
- Efficient high-dimensional importance sampling (Q289225) (← links)
- Monitoring disruptions in financial markets (Q291846) (← links)
- A multiple indicators model for volatility using intra-daily data (Q292000) (← links)
- Regime switching for dynamic correlations (Q292034) (← links)
- Econometric estimation in long-range dependent volatility models: theory and practice (Q299258) (← links)
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
- The Wishart autoregressive process of multivariate stochastic volatility (Q302185) (← links)
- Evaluation of mutual funds using multi-dimensional information (Q352005) (← links)
- Measuring and forecasting volatility in Chinese stock market using HAR-CJ-M model (Q369722) (← links)
- Long run behaviour of the autocovariance function of ARCH(\(\infty\)) models (Q429271) (← links)
- Modelling and forecasting noisy realized volatility (Q429642) (← links)
- Efficient Bayesian inference for stochastic time-varying copula models (Q434914) (← links)
- Filtering a nonlinear stochastic volatility model (Q437251) (← links)
- Efficient likelihood estimation in state space models (Q449965) (← links)
- Simulated likelihood inference for stochastic volatility models using continuous particle filtering (Q457263) (← links)
- Normex, a new method for evaluating the distribution of aggregated heavy tailed risks (Q482083) (← links)
- Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model (Q485704) (← links)
- Bayesian estimation of a skew-Student-\(t\) stochastic volatility model (Q496964) (← links)
- Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations (Q523969) (← links)
- Extremal memory of stochastic volatility with an application to tail shape inference (Q607175) (← links)
- Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: a Bayesian approach (Q629128) (← links)
- Empirical study of Nikkei 225 options with the Markov switching GARCH model (Q633826) (← links)
- On filtering and estimation of a threshold stochastic volatility model (Q658656) (← links)
- Esscher transforms and consumption-based models (Q659151) (← links)
- Bayesian semiparametric stochastic volatility modeling (Q736526) (← links)
- Comparison of value-at-risk models using the MCS approach (Q736648) (← links)
- Maximum likelihood estimation of linear stochastic systems in the class of sequential square-root orthogonal filtering methods (Q766056) (← links)
- Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions (Q840372) (← links)
- Strong approximation for the sums of squares of augmented GARCH sequences (Q850764) (← links)
- Econometric analysis of high frequency data (Q862781) (← links)
- Sample quantile analysis for long-memory stochastic volatility models (Q888329) (← links)
- Semiparametric bivariate Archimedean copulas (Q901593) (← links)
- The extremal index for GARCH(1,1) processes (Q907366) (← links)
- On valuing participating life insurance contracts with conditional heteroscedasticity (Q928174) (← links)
- Estimation of stochastic volatility with LRD (Q929714) (← links)
- Likelihood-based inference for asymmetric stochastic volatility models (Q951880) (← links)
- Testing forecast accuracy of foreign exchange rates: Predictions from feed forward and various recurrent neural network architectures (Q954784) (← links)
- Approximating volatility diffusions with CEV-ARCH models (Q956536) (← links)
- The asymptotic convexity of the negative likelihood function of GARCH models (Q959162) (← links)
- A conditional extreme value volatility estimator based on high-frequency returns (Q959736) (← links)
