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On linear processes with dependent innovations · Study

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ArticleOn linear processes with dependent innovations

Wei Biao Wu2005

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Articlebronze2005

On linear processes with dependent innovations

Wei Biao Wu · Wanli Min

104 citations·0/0 files stored·Stochastic Processes and their Applications

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Financial Risk and Volatility Modeling Probability and Statistical Research Time Series Analysis and Forecasting

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References

1986Generalized autoregressive conditional heteroskedasticity 1977Time Series Analysis: Forecasting and Control 1968Fractional Brownian Motions, Fractional Noises and Applications 1981Fractional Differencing 1986Generalized autoregressive conditional heteroscedasticity 1992Stationarity of Garch processes and of some nonnegative time series 2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS 1996Analysing inflation by the fractionally integrated ARFIMA-GARCH model

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2010ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA 2010TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS 2008Ratio tests for change point detection 2008On the Performance of the Fluctuation Test for Structural Change 2012On the reaction time of moving sum detectors

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Details

Year2005

Typearticle

Published2005-01-29

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations104

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.spa.2005.01.001

openalex_workW2006149457

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