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ArticleLinear double autoregression

Qianqian Zhu2018

Article2018

Linear double autoregression

Qianqian Zhu · Yao Zheng · Guodong Li

30 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Statistical Methods and Inference Advanced Statistical Methods and Models

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2004CAViaR 2004Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes 1996Conditional Quantile Estimation and Inference for Arch Models 2009Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models 2003Estimation and Testing Stationarity for Double-Autoregressive Models 1983Criteria for rates of convergence of Markov chains, with application to queueing and storage theory

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2019Strict stationarity testing and GLAD estimation of double autoregressive models

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Year2018

Typearticle

Published2018-07-21

VenueJournal of Econometrics

ISSN-L0304-4076

Languageit

Citations30

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2018.05.006

openalex_workW2884358540

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