SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Robust closed-form estimators for the integer-valued GARCH (1,1) model
9 references·0 citing·34 second hop
Robust closed-form estimators for the integer-valued GARCH (1,1) model (2016)Robust closed-form estimators for the int…Evaluation of Phase I analysis scenarios on Phase II performance of control charts for autocorrelated observations (2016)Evaluation of Phase I analysi…Influence diagnostics in log-linear integer-valued GARCH models (2014)Influence diagnostics in log-…On count time series prediction (2013)On count time series predicti…Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models (2011)Modeling overdispersed or und…Stylized facts of return series, robust estimates and three popular models of volatility (2010)Stylized facts of return seri…Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity (2010)Dynamic Factor Models for Mul…A negative binomial integer-valued GARCH model (2010)A negative binomial integer-v…Integer‐Valued GARCH Process (2006)Integer‐Valued GARCH ProcessA CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL (2006)A CLOSED-FORM ESTIMATOR FOR T…Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Probabilistic Forecasts, Calibration and Sharpness (2007)GARCH Models (2010)GARCH Models: Structure, Statistical Inference and Financial Applications (2019)A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation (2021)ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH (2004)Infinitely Divisible Distributions in Integer‐Valued Garch Models (2015)A metamodel-based Monte Carlo simulation approach for responsive production planning of manufacturing systems (2016)CUSUM test for general nonlinear integer-valued GARCH models: comparison study (2018)Generalized autoregressive conditional heteroskedasticity (1986)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Specification and testing of multiplicative time-varying GARCH models with applications (2014)Leverage effect in energy futures revisited (2018)Do Jumps and Co-jumps Improve Volatility Forecasting of Oil and Currency Markets? (2019)Interventions in INGARCH processes (2010)Zero-inflated Poisson and negative binomial integer-valued GARCH models (2011)Time-Series Modeling for Statistical Process Control (1988)Some Statistical Process Control Methods for Autocorrelated Data (1991)Research Issues and Ideas in Statistical Process Control (1999)Guaranteed conditional ARL performance in the presence of autocorrelation (2018)An algorithmic approach to outlier detection and parameter estimation in Phase I for designing Phase II EWMA control chart (2020)Change-Point detection for autocorrelated multivariate Poisson processes (2022)The Price Variability-Volume Relationship on Speculative Markets (1983)A Theory of Intraday Patterns: Volume and Price Variability (1988)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)A note on cointegration of international stock market indices (2013)Monitoring a bivariate INAR(1) process with application to Hepatitis A (2019)Extreme Values, Regular Variation and Point Processes (1987)Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)A GMM procedure for combining volatility forecasts (2007)ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL (2009)Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes (2010)Journal De La Société Française De Statistique (2005)
this work references cited by second hop

References

  • 2006Integer‐Valued GARCH Process499 cited
  • 2010A negative binomial integer-valued GARCH model216 cited
  • 2011Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models135 cited
  • 2006A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL63 cited
  • 2010Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity59 cited
  • 2010Stylized facts of return series, robust estimates and three popular models of volatility49 cited
  • 2013On count time series prediction35 cited
  • 2014Influence diagnostics in log-linear integer-valued GARCH models29 cited
  • 2016Evaluation of Phase I analysis scenarios on Phase II performance of control charts for autocorrelated observations16 cited

Cited by

No citing works inside the corpus for this window.

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work