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Asymptotic theory for ARCH-SM models: Lan and residual empirical processes
10 references·0 citing·34 second hop
Asymptotic theory for ARCH-SM models: Lan and residual empirical processes (2005)Asymptotic theory for ARCH-SM models: Lan…On adaptive estimation in nonstationary ARMA Models with GARCH errors (2003)On adaptive estimation in non…A NOTE ON THE STATIONARITY AND THE EXISTENCE OF MOMENTS OF THE GARCH MODEL (2003)A NOTE ON THE STATIONARITY AN…NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS (2002)NECESSARY AND SUFFICIENT MOME…STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM (2000)STATIONARY ARCH MODELS: DEPEN…On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity (1997)On Fractionally Integrated Au…ARCH: Selected Readings (1995)ARCH: Selected ReadingsAdaptive Estimation in ARCH Models (1993)Adaptive Estimation in ARCH M…Stationarity of Garch processes and of some nonnegative time series (1992)Stationarity of Garch process…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient estimation in semiparametric GARCH models (1997)Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1 (2005)Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods (2013)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Parametric and Nonparametric Volatility Measurement (2010)Time Series Analysis: Forecasting and Control (1977)An econometric analysis of asymmetric volatility: Theory and application to patents (2006)Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models (2006)Modelling of extremal events in insurance and finance (1994)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)Inequality Constraints in the Fractionally Integrated GARCH Model (2006)Statistical inference for time-varying ARCH processes (2006)An Introduction to Univariate GARCH Models (2009)Efficient Tests for an Autoregressive Unit Root (1996)Recent Advances in ARCH Modelling (2006)Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero (2007)ARCH modeling in finance (1992)Recent Theoretical Results for Time Series Models with GARCH Errors (2002)Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility (2009)Econometric Analysis of Cross Section and Panel Data (2001)A multivariate conditional autoregressive range model (2004)A Tour in the Asymptotic Theory of GARCH Estimation (2009)Financial Economics, Fat-Tailed Distributions (2011)Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Using artificial neural network models in stock market index prediction (2011)Economic fluctuations and anomalous diffusion (2000)Market risk in commodity markets: a VaR approach (2003)Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets (2014)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 1992Stationarity of Garch processes and of some nonnegative time series567 cited
  • 2002NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS288 cited
  • 1995ARCH: Selected Readings288 cited
  • 2000STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM253 cited
  • 1997On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity243 cited
  • 2003On adaptive estimation in nonstationary ARMA Models with GARCH errors143 cited
  • 1993Adaptive Estimation in ARCH Models141 cited
  • 2003A NOTE ON THE STATIONARITY AND THE EXISTENCE OF MOMENTS OF THE GARCH MODEL51 cited

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