Pages that link to "Item:Q811063"
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The following pages link to Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression (Q811063):
Displaying 50 items.
- Fractionally integrated time varying GARCH model (Q257572) (← links)
- Sign tests for long-memory time series (Q265025) (← links)
- Modelling structural breaks, long memory and stock market volatility: an overview (Q265098) (← links)
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models (Q269236) (← links)
- A goodness-of-fit test for ARCH(\(\infty\)) models (Q289186) (← links)
- A class of stochastic unit-root bilinear processes: mixing properties and unit-root test (Q290958) (← links)
- Monitoring disruptions in financial markets (Q291846) (← links)
- Correlation testing in time series, spatial and cross-sectional data (Q299248) (← links)
- Out of sample forecasts of quadratic variation (Q299250) (← links)
- A nonlinear model for long-memory conditional heteroscedasticity (Q327174) (← links)
- Asymptotics for random functions moderated by dependent noise (Q329063) (← links)
- Long run behaviour of the autocovariance function of ARCH(\(\infty\)) models (Q429271) (← links)
- A test of the null of integer integration against the alternative of fractional integration (Q494391) (← links)
- Robust Dickey-Fuller tests based on ranks for time series with additive outliers (Q506584) (← links)
- On approximate pseudo-maximum likelihood estimation for LARCH-processes (Q605885) (← links)
- Semi- and nonparametric ARCH processes (Q609736) (← links)
- Self-similarity in financial markets: a fractionally integrated approach (Q611788) (← links)
- A functional limit theorem for \(\eta \)-weakly dependent processes and its applications (Q623491) (← links)
- Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion (Q625295) (← links)
- Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models (Q626266) (← links)
- Mixing properties of ARCH and time-varying ARCH processes (Q637105) (← links)
- Bias correction for the regression-based LM fractional integration test (Q732235) (← links)
- Non-negativity conditions for the hyperbolic GARCH model (Q736540) (← links)
- Inconsistency of the MLE and inference based on weighted LS for LARCH models (Q736696) (← links)
- A semiparametric stochastic volatility model (Q738174) (← links)
- Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes (Q834361) (← links)
- A new hyperbolic GARCH model (Q888335) (← links)
- Testing for bubbles and change-points (Q953776) (← links)
- The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models (Q957210) (← links)
- Bootstrapping long memory tests: some Monte Carlo results (Q961426) (← links)
- On regularly varying and history-dependent convergence rates of solutions of a Volterra equation with infinite memory (Q963108) (← links)
- Weighted averages and local polynomial estimation for fractional linear ARCH processes (Q1001706) (← links)
- Covariance stationary GARCH-family models with long memory property (Q1031773) (← links)
- Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491) (← links)
- ARCH modeling in finance. A review of the theory and empirical evidence (Q1185104) (← links)
- Nonlinear time series with long memory: A model for stochastic volatility (Q1299552) (← links)
- Testing for serial correlation in multivariate regression models (Q1305639) (← links)
- Testing for a slowly changing level with special reference to stochastic volatility (Q1305654) (← links)
- Testing of unit root and other nonstationary hypotheses in macroeconomic time series (Q1371371) (← links)
- The detection and estimation of long memory in stochastic volatility (Q1377319) (← links)
- Gaussian inference on certain long-range dependent volatility models (Q1398961) (← links)
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data (Q1584769) (← links)
- Fractionally differenced Gegenbauer processes with long memory: a review (Q1630399) (← links)
- Forecasting volatility and the risk-return tradeoff: an application on the Fama-French benchmark market return (Q1695664) (← links)
- ARCH-type bilinear models with double long memory. (Q1766035) (← links)
- Functional limit theorem for the empirical process of a class of Bernoulli shifts with long memory (Q1776120) (← links)
- Testing for ARCH in the presence of a possibly misspecified conditional mean (Q1808547) (← links)
- Inference on the cointegration rank in fractionally integrated processes. (Q1858968) (← links)
- Rescaled variance and related tests for long memory in volatility and levels (Q1868970) (← links)
- A model for long memory conditional heteroscedasticity. (Q1872488) (← links)
