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~subject:"ARCH model"
~subject:"Nichtparametrisches Verfahren"
~subject:"Time series analysis"
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Nichtparametrisches Verfahren
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2
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Econometric theory
Journal of econometrics
40
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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1
Higher order moemnts of Markov switching varma models
Cavicchioli, Maddalena
- In:
Econometric theory
33
(
2017
)
6
,
pp. 1502-1515
Persistent link: https://www.econbiz.de/10011810429
Saved in:
2
Testing for the Markov property in time series
Chen, Bin
;
Hong, Yongmiao
- In:
Econometric theory
28
(
2012
)
1
,
pp. 130-178
Persistent link: https://www.econbiz.de/10009520968
Saved in:
3
Parameter estimation in nonlinear AR-GARCH models
Meitz, Mika
;
Saikkonen, Pentti
- In:
Econometric theory
27
(
2011
)
6
,
pp. 1236-1278
Persistent link: https://www.econbiz.de/10009489714
Saved in:
4
Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
Chen, Bin
;
Hong, Yongmiao
- In:
Econometric theory
26
(
2010
)
4
,
pp. 1115-1179
Persistent link: https://www.econbiz.de/10003993831
Saved in:
5
Integrated Markov-switching GARCH process
Liu, Ji-Chun
- In:
Econometric theory
25
(
2009
)
5
,
pp. 1277-1288
Persistent link: https://www.econbiz.de/10003885752
Saved in:
6
Copula-based characterizations for higher order Markov processes
Ibragimov, Rustam Ju.
- In:
Econometric theory
25
(
2009
)
3
,
pp. 819-846
Persistent link: https://www.econbiz.de/10003864192
Saved in:
7
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
Meitz, Mika
;
Saikkonen, Pentti
- In:
Econometric theory
24
(
2008
)
5
,
pp. 1291-1320
Persistent link: https://www.econbiz.de/10003748759
Saved in:
8
On the stationarity of Markov-switching GARCH processes
Abramson, Ari
;
Cohen, Israel
- In:
Econometric theory
23
(
2007
)
3
,
pp. 485-500
Persistent link: https://www.econbiz.de/10003541260
Saved in:
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