SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Estimation in Conditionally Heteroscedastic Time Series Models
0 references·6 citing·32 second hopsampled
Estimation in Conditionally Heteroscedastic Time Series Models (2005)Estimation in Conditionally Heteroscedast…Feasible invertibility conditions and maximum likelihood estimation for observation-driven models (2018)Feasible invertibility condit…Statistical Inference for Max-Stable Processes in Space and Time (2013)Statistical Inference for Max…QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS (2009)QUASI-MAXIMUM LIKELIHOOD ESTI…Estimating GARCH models: when to use what? (2008)Estimating GARCH models: when…Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero (2007)Quasi-maximum likelihood esti…Strategic Long-Term Financial Risks: Single Risk Factors (2005)Strategic Long-Term Financial…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Stationarity and Persistence in the GARCH(1,1) Model (1990)GARCH Parameter Estimation Using High-Frequency Data (2010)QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS (2011)QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES (2018)Asymptotic Theory for ARCH Models: Estimation and Testing (1986)Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator (1994)GARCH processes: structure and estimation (2003)Confidence intervals for ARMA–GARCH Value-at-Risk: The case of heavy tails and skewness (2014)Exchange rate volatility and pass‐through to inflation in South Africa (2020)Volatility predictability in crude oil futures: Evidence based on OVX, GARCH and stochastic volatility models (2023)The Behavior of Stock-Market Prices (1965)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Estimation methods for expected shortfall (2013)A comparison of Expected Shortfall estimation models (2014)Statistical Analysis of the Exchange Rate of Bitcoin (2015)Spatial Interaction and the Statistical Analysis of Lattice Systems (1974)A Spectral Representation for Max-stable Processes (1984)Nonseparable, Stationary Covariance Functions for Space–Time Data (2002)Max-stable processes for modeling extremes observed in space and time (2013)Measures of serial extremal dependence and their estimation (2013)30 Years of space–time covariance functions (2020)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Maximum Likelihood Estimation for Generalized Autoregressive Score Models (2014)Modeling the Interactions between Volatility and Returns using EGARCH‐M (2018)Modeling and Forecasting Macroeconomic Downside Risk (2023)Conditional Skewness in Asset Pricing Tests (2000)Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes (2010)PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS (2011)Estimating Multivariate Volatility Models Equation by Equation (2015)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

No references inside the corpus for this window.

Cited by

  • 2005Strategic Long-Term Financial Risks: Single Risk Factors87 cited
  • 2007Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero79 cited
  • 2013Statistical Inference for Max-Stable Processes in Space and Time76 cited
  • 2018Feasible invertibility conditions and maximum likelihood estimation for observation-driven models68 cited
  • 2009QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS56 cited
  • 2008Estimating GARCH models: when to use what?34 cited

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