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Estimating Functions for Nonlinear Time Series Models
7 references·0 citing·24 second hop
Estimating Functions for Nonlinear Time Series Models (2001)Estimating Functions for Nonlinear Time S…ARCH Models and Financial Applications (1999)ARCH Models and Financial App…Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility (1998)Nonlinear Time Series Analysi…ARCH Models and Financial Applications (1997)ARCH Models and Financial App…Statistical aspects of ARCH and stochastic volatility (1996)Statistical aspects of ARCH a…Chapter 45 Estimation and inference for dependent processes (1994)Chapter 45 Estimation and inf…ARCH modeling in finance (1992)ARCH modeling in financeAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL (2009)Intra-daily Volume Modeling and Prediction for Algorithmic Trading (2010)SEMIPARAMETRIC VECTOR MEM (2012)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)On the cusum of squares test for variance change in nonstationary and nonparametric time series models (2003)Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory (2006)On geometric ergodicity of CHARME models (2010)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Empirical pricing kernels (2002)Bootstrapping autoregressions with conditional heteroskedasticity of unknown form (2004)Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process (2000)Optimization Methods in Finance (2006)The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality (2008)Inference in Arch and Garch Models with Heavy-Tailed Errors (2003)Modelling Nonlinear Economic Time Series (2010)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1996Statistical aspects of ARCH and stochastic volatility749 cited
  • 1999ARCH Models and Financial Applications417 cited
  • 1997ARCH Models and Financial Applications397 cited
  • 1994Chapter 45 Estimation and inference for dependent processes134 cited
  • 1998Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility46 cited

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