Pages that link to "Item:Q710816"
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The following pages link to Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes (Q710816):
Displayed 24 items.
- Fourier-type estimation of the power GARCH model with stable-Paretian innovations (Q288103) (← links)
- Inference in nonstationary asymmetric GARCH models (Q385779) (← links)
- Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations (Q888322) (← links)
- Asymptotics of Cholesky GARCH models and time-varying conditional betas (Q1753058) (← links)
- Semiparametric efficient adaptive estimation of the GJR-GARCH model (Q1756033) (← links)
- Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients (Q2059106) (← links)
- QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes (Q2063074) (← links)
- Asymptotic normality of the MLE in the level-effect ARCH model (Q2066488) (← links)
- Estimation of multivariate asymmetric power GARCH models (Q2079614) (← links)
- Hybrid quantile estimation for asymmetric power GARCH models (Q2116338) (← links)
- Statistical inference for mixture GARCH models with financial application (Q2135925) (← links)
- Portmanteau test for the asymmetric power GARCH model when the power is unknown (Q2151687) (← links)
- Testing for local covariate trend effects in volatility models (Q2192311) (← links)
- Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes (Q2343638) (← links)
- Bayesian analysis of periodic asymmetric power GARCH models (Q2697099) (← links)
- Conditional asymmetry in power ARCH\((\infty)\) models (Q2697981) (← links)
- QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS (Q3224041) (← links)
- Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified (Q3466886) (← links)
- Risk forecasting in (T)GARCH models with uncorrelated dependent innovations (Q4555065) (← links)
- QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES (Q4629565) (← links)
- Necessary and sufficient conditions for the identifiability of observation‐driven models (Q4997691) (← links)
- Power periodic threshold GARCH model: Structure and estimation (Q5076941) (← links)
- LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS (Q6078286) (← links)
- A residual bootstrap for conditional value-at-risk (Q6193032) (← links)