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On Mixture Double Autoregressive Time Series Models
15 references·0 citing·37 second hop
On Mixture Double Autoregressive Time Series Models (2015)On Mixture Double Autoregressive Time Ser…Quasi-maximum exponential likelihood estimators for a double AR(p) model (2012)Quasi-maximum exponential lik…ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA (2010)ON TAIL INDEX ESTIMATION FOR …Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity (2008)Least absolute deviation esti…A Double AR(p) Model: Structure and Estimation (2007)A Double AR(p) Model: Structu…On a Mixture GARCH Time‐Series Model (2006)On a Mixture GARCH Time‐Serie…Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach (2005)Diagnostic checking for time …Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Maximum likelihood estimation…Estimation and Testing Stationarity for Double-Autoregressive Models (2003)Estimation and Testing Statio…ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (2003)ASYMPTOTIC THEORY FOR A VECTO…On a Mixture Autoregressive Conditional Heteroscedastic Model (2001)On a Mixture Autoregressive C…On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model (1999)On the probabilistic properti…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Asymptotic Theory for ARCH Models: Estimation and Testing (1986)Asymptotic Theory for ARCH Mo…Criteria for rates of convergence of Markov chains, with application to queueing and storage theory (1983)Criteria for rates of converg…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…ARCH modeling in finance (1992)Maximum likelihood estimation of STAR and STAR‐GARCH models: theory and Monte Carlo evidence (2002)Stability of nonlinear AR‐GARCH models (2008)Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes (2009)Stationarity and Persistence in the GARCH(1,1) Model (1990)Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach (2006)Modelling Nonlinear Economic Time Series (2010)Risk, Uncertainty, and Expected Returns (2012)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables (1978)Intra-Day and Inter-Market Volatility in Foreign Exchange Rates (1991)Semiparametric ARCH Models (1991)A causality-in-variance test and its application to financial market prices (1996)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Time Series Regression with a Unit Root (1987)Semiparametric inference in a GARCH-in-mean model (2011)Risk-parameter estimation in volatility models (2014)Autoregressive conditional heteroskedasticity and changes in regime (1994)Bayesian estimation of the Gaussian mixture GARCH model (2006)Glossary to ARCH (GARCH) (2008)A comprehensive review of Value at Risk methodologies (2013)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Long memory and tail dependence in trading volume and volatility (2013)Asymmetry in tail dependence in equity portfolios (2015)MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES (2019)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process (2004)Discrete-Time AffineℚTerm Structure Models with Generalized Market Prices of Risk (2010)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL887 cited
  • 2004Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes568 cited
  • 1986Asymptotic Theory for ARCH Models: Estimation and Testing520 cited
  • 2001On a Mixture Autoregressive Conditional Heteroscedastic Model178 cited
  • 2003Estimation and Testing Stationarity for Double-Autoregressive Models135 cited
  • 1983Criteria for rates of convergence of Markov chains, with application to queueing and storage theory118 cited
  • 1999On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model98 cited
  • 2010ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA94 cited
  • 2007A Double AR(p) Model: Structure and Estimation88 cited
  • 2006On a Mixture GARCH Time‐Series Model44 cited
  • 2008Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity40 cited
  • 2005Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach38 cited

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  • 2012Quasi-maximum exponential likelihood estimators for a double AR(p) model32 cited
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