Pages that link to "Item:Q738084"

The following pages link to Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE (Q738084):

Displaying 17 items.

• Statistical inference for nonparametric GARCH models (Q311986) (← links)
• On dynamics of volatilities in nonstationary GARCH models (Q467000) (← links)
• Risk-parameter estimation in volatility models (Q473360) (← links)
• Teaching size and power properties of hypothesis tests through simulations (Q1669830) (← links)
• Testing the existence of moments for GARCH processes (Q2116322) (← links)
• Consistent non-Gaussian pseudo maximum likelihood estimators (Q2280575) (← links)
• Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE (Q2691780) (← links)
• Adaptive quasi-maximum likelihood estimation of GARCH models with Student’s<i>t</i>likelihood (Q2830196) (← links)
• A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach (Q2852494) (← links)
• MODELING NONSTATIONARY AND LEPTOKURTIC FINANCIAL TIME SERIES (Q3450343) (← links)
• Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified (Q3466886) (← links)
• On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models (Q5135327) (← links)
• Semiparametric Time Series Models with Log‐concave Innovations: Maximum Likelihood Estimation and its Consistency (Q5177947) (← links)
• Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations (Q5225252) (← links)
• Root-\(T\) consistent density estimation in GARCH models (Q5964750) (← links)
• Bootstrap specification tests for dynamic conditional distribution models (Q6108286) (← links)
• On periodic logGARCH model with empirical application model with empirical application (Q6657831) (← links)