Pages that link to "Item:Q5473024"
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The following pages link to Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case (Q5473024):
Displaying 50 items.
- Semi-parametric estimation and forecasting for exogenous log-GARCH models (Q285838) (← links)
- Inference in nonstationary asymmetric GARCH models (Q385779) (← links)
- Non-stationary quasi-likelihood and asymptotic optimality (Q397244) (← links)
- Asymptotic inference of unstable periodic ARCH processes (Q411545) (← links)
- On dynamics of volatilities in nonstationary GARCH models (Q467000) (← links)
- Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models (Q477106) (← links)
- An ARCH model without intercept (Q500477) (← links)
- Offline and online weighted least squares estimation of nonstationary power ARCH processes (Q634578) (← links)
- ARCH/GARCH with persistent covariate: asymptotic theory of MLE (Q738138) (← links)
- Semiparametric inference in a GARCH-in-mean model (Q738173) (← links)
- Some characterizations of non-ergodic estimating functions for stochastic processes (Q892894) (← links)
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference (Q894634) (← links)
- On the choice of test for a unit root when the errors are conditionally heteroskedastic (Q1615170) (← links)
- Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models (Q1631205) (← links)
- Nonstationary GARCH with \(t\)-distributed innovations (Q1667982) (← links)
- The ZD-GARCH model: a new way to study heteroscedasticity (Q1680184) (← links)
- Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions (Q1695555) (← links)
- A note on the QMLE limit theory in the non-stationary ARCH(1) model (Q1695669) (← links)
- Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model (Q1726177) (← links)
- Random coefficient continuous systems: testing for extreme sample path behavior (Q1740293) (← links)
- Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases (Q1757893) (← links)
- Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model (Q1786796) (← links)
- Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations (Q1927104) (← links)
- Rejoinder on: Some recent theory for autoregressive count time series (Q1936530) (← links)
- Statistical inference for non-stationary GARCH(\(p\),\(q\)) models (Q1952010) (← links)
- Strict stationarity testing and GLAD estimation of double autoregressive models (Q2000866) (← links)
- Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients (Q2059106) (← links)
- Asymptotic normality of the MLE in the level-effect ARCH model (Q2066488) (← links)
- Testing the existence of moments for GARCH processes (Q2116322) (← links)
- Hybrid quantile estimation for asymmetric power GARCH models (Q2116338) (← links)
- A score statistic for testing the presence of a stochastic trend in conditional variances (Q2127331) (← links)
- QMLE for periodic time-varying asymmetric log GARCH models (Q2231570) (← links)
- Estimation and strict stationarity testing of ARCH processes based on weighted least squares (Q2261914) (← links)
- Explosive strong periodic autoregression with multiplicity one (Q2344392) (← links)
- Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models (Q2454005) (← links)
- Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE (Q2691780) (← links)
- Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model (Q2807747) (← links)
- ON MOMENT CONDITIONS FOR QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE ARCH MODELS (Q2845022) (← links)
- ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS (Q2886965) (← links)
- HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS (Q2886979) (← links)
- NON-STATIONARITY AND QUASI-MAXIMUM LIKELIHOOD ESTIMATION ON A DOUBLE AUTOREGRESSIVE MODEL (Q2936569) (← links)
- Estimation in nonstationary random coefficient autoregressive models (Q3077655) (← links)
- Estimation and Asymptotic Inference in the AR-ARCH Model (Q3086362) (← links)
- Structure and estimation of a class of nonstationary yet nonexplosive GARCH models (Q3103190) (← links)
- Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation (Q3168912) (← links)
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS (Q3375346) (← links)
- BIVARIATE ARCH MODELS: FINITE-SAMPLE PROPERTIES OF QML ESTIMATORS AND AN APPLICATION TO AN LM-TYPE TEST (Q3377443) (← links)
- MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS (Q3408521) (← links)
- LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS (Q3450342) (← links)
- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL (Q3551018) (← links)
