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ECONIS (ZBW)
73
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1
Least squares and IVX limit theory in systems of predictive regressions with GARCH innovations
Magdalinos, Tassos
- In:
Econometric theory
38
(
2022
)
5
,
pp. 875-912
Persistent link: https://www.econbiz.de/10013469682
Saved in:
2
Nonstationary linear processes with infinite variance GARCH errors
Zhang, Rongmao
;
Chan, Ngai Hang
- In:
Econometric theory
37
(
2021
)
5
,
pp. 892-925
Persistent link: https://www.econbiz.de/10012656388
Saved in:
3
Dynamic asset correlations based on vines
Poignard, Benjamin
;
Fermanian, Jean-David
- In:
Econometric theory
35
(
2019
)
1
,
pp. 167-197
Persistent link: https://www.econbiz.de/10012146127
Saved in:
4
Characterizations of multinormality and corresponding tests of fit, including for GARCH models
Henze, Norbert
;
Jiménez-Gamero, M. Dolores
;
Meintanis, …
- In:
Econometric theory
35
(
2019
)
3
,
pp. 510-546
Persistent link: https://www.econbiz.de/10012146149
Saved in:
5
Renorming volatilities in a family of GARCH models
Li, Dong
;
Wu, Wuqing
- In:
Econometric theory
34
(
2018
)
6
,
pp. 1370-1382
Persistent link: https://www.econbiz.de/10012038081
Saved in:
6
On the stationarity of dynamic conditional correlation models
Fermanian, Jean-David
;
Malongo, Hassan
- In:
Econometric theory
33
(
2017
)
3
,
pp. 636-663
Persistent link: https://www.econbiz.de/10011810178
Saved in:
7
Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.
;
Laurent, Sébastien
;
Violante, …
- In:
Econometric theory
33
(
2017
)
3
,
pp. 691-716
Persistent link: https://www.econbiz.de/10011810186
Saved in:
8
Adaptive long memory testing under heteroskedasticity
Harris, David
;
Kew, Hsein
- In:
Econometric theory
33
(
2017
)
3
,
pp. 755-778
Persistent link: https://www.econbiz.de/10011810197
Saved in:
9
Residual-based GARCH bootstrap and second order asymptotic refinement
Jeong, Minsoo
- In:
Econometric theory
33
(
2017
)
3
,
pp. 779-790
Persistent link: https://www.econbiz.de/10011810204
Saved in:
10
Detecting for smooth structural changes in GARCH models
Chen, Bin
;
Hong, Yongmiao
- In:
Econometric theory
32
(
2016
)
3
,
pp. 740-791
Persistent link: https://www.econbiz.de/10011606827
Saved in:
11
Spline estimation of a semiparametric GARCH model
Liu, Rong
;
Yang, Lijian
- In:
Econometric theory
32
(
2016
)
4
,
pp. 1023-1054
Persistent link: https://www.econbiz.de/10011644228
Saved in:
12
Econometric analysis of volatility component models
Wang, Fangfang
;
Ghysels, Eric
- In:
Econometric theory
31
(
2015
)
2
,
pp. 362-393
Persistent link: https://www.econbiz.de/10010532059
Saved in:
13
On a family of contrasts for parametric inference in degenerate ARCH models
Truquet, Lionel
- In:
Econometric theory
30
(
2014
)
6
,
pp. 1165-1206
Persistent link: https://www.econbiz.de/10010502121
Saved in:
14
On moment conditions for quasi-maximum likelihood estimation of multivariate arch models
Avarucci, Marco
;
Beutner, Eric
;
Zaffaroni, Paolo
- In:
Econometric theory
29
(
2013
)
3
,
pp. 545-566
Persistent link: https://www.econbiz.de/10009778514
Saved in:
15
A nonparametric goodness-of-fit-based test for conditional heteroskedasticity
Su, Liangjun
;
Ullah, Aman
- In:
Econometric theory
29
(
2013
)
1
,
pp. 187-212
Persistent link: https://www.econbiz.de/10009747860
Saved in:
16
Tail index of an AR(1) model with ARCH(1) errors
Chan, Ngai Hang
;
Li, Deyuan
;
Peng, Liang
;
Zhang, Rongmao
- In:
Econometric theory
29
(
2013
)
5
,
pp. 920-940
Persistent link: https://www.econbiz.de/10010248321
Saved in:
17
Rank-based estimation for GARCH processes
Andrews, Beth
- In:
Econometric theory
28
(
2012
)
5
,
pp. 1037-1064
Persistent link: https://www.econbiz.de/10009714725
Saved in:
18
Local linear fitting under near epoch dependence : uniform consistency with convergence rates
Li, Degui
;
Lu, Zu-di
;
Linton, Oliver
- In:
Econometric theory
28
(
2012
)
5
,
pp. 935-958
Persistent link: https://www.econbiz.de/10009714729
Saved in:
19
QML estimation of a class of multivariate asymmetric GARCH models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
28
(
2012
)
1
,
pp. 179-206
Persistent link: https://www.econbiz.de/10009520966
Saved in:
20
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:
21
Estimation of a semiparametric IGARCH (1,1) model
Kim, Woocheol
;
Linton, Oliver
- In:
Econometric theory
27
(
2011
)
3
,
pp. 639-661
Persistent link: https://www.econbiz.de/10009266722
Saved in:
22
Estimation for a nonstationary semi-strong GARCH (1,1) model with heavy-tailed errors
Linton, Oliver
;
Pan, Jiazhu
;
Wang, Hui
- In:
Econometric theory
26
(
2010
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10003968440
Saved in:
23
Modeling multiple regimes in financial volatility with a flexible coefficient GARCH (1,1) model
Medeiros, Marcelo C.
;
Veiga, Alvaro
- In:
Econometric theory
25
(
2009
)
1
,
pp. 117-161
Persistent link: https://www.econbiz.de/10003816219
Saved in:
24
Least absolute deviation estimation for unit root processes with GARCH errors
Li, Guodong
;
Li, Wai Keung
- In:
Econometric theory
25
(
2009
)
5
,
pp. 1208-1227
Persistent link: https://www.econbiz.de/10003885748
Saved in:
25
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:
26
Asymptotic theory for a factor GARCH model
Hafner, Christian M.
;
Preminger, Arie
- In:
Econometric theory
25
(
2009
)
2
,
pp. 336-363
Persistent link: https://www.econbiz.de/10003818293
Saved in:
27
First-order asymptotic theory for parametric misspecification tests of GARCH models
Halunga, Andreea G.
;
Orme, Chris D.
- In:
Econometric theory
25
(
2009
)
2
,
pp. 364-410
Persistent link: https://www.econbiz.de/10003818296
Saved in:
28
Quasi-maximum likelihood estimation of semi-strong GARCH models
Escanciano, Juan Carlos
- In:
Econometric theory
25
(
2009
)
2
,
pp. 561-570
Persistent link: https://www.econbiz.de/10003818363
Saved in:
29
M-estimation in GARCH models
Mukherjee, Kanchan
- In:
Econometric theory
24
(
2008
)
6
,
pp. 1530-1553
Persistent link: https://www.econbiz.de/10003771782
Saved in:
30
Adaptive density estimation for general ARCH models
Comte, Fabienne
;
Dedecker, J.
;
Taupin, M. L.
- In:
Econometric theory
24
(
2008
)
6
,
pp. 1628-1662
Persistent link: https://www.econbiz.de/10003771889
Saved in:
31
A note on inequality constraints in the GARCH model
Tsai, Henghsiu
;
Chan, Kung-sik
- In:
Econometric theory
24
(
2008
)
3
,
pp. 823-828
Persistent link: https://www.econbiz.de/10003894307
Saved in:
32
On the relation between the vec and BEKK multivariate GARCH models
Stelzer, Robert
- In:
Econometric theory
24
(
2008
)
4
,
pp. 1131-1136
Persistent link: https://www.econbiz.de/10003736871
Saved in:
33
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:
34
Estimation risk in GARCH VaR and ES estimates
Gao, Feng
;
Song, Fengming
- In:
Econometric theory
24
(
2008
)
5
,
pp. 1404-1424
Persistent link: https://www.econbiz.de/10003748804
Saved in:
35
Local linear fitting under near epoch dependence
Lu, Zudi
;
Linton, Oliver
- In:
Econometric theory
23
(
2007
)
1
,
pp. 37-70
Persistent link: https://www.econbiz.de/10003407421
Saved in:
36
Semiparametric multivarite volatility models
Hafner, Christian M.
;
Rombouts, Jeroen V. K.
- In:
Econometric theory
23
(
2007
)
2
,
pp. 251-280
Persistent link: https://www.econbiz.de/10003429716
Saved in:
37
On the parametrization of multivariate GARCH models
Scherrer, Wolfgang
;
Ribarits, Eva
- In:
Econometric theory
23
(
2007
)
3
,
pp. 464-484
Persistent link: https://www.econbiz.de/10003541257
Saved in:
38
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:
39
Higher order asymptotic theory when a parameter is on a boundary with an application to GARCH models
Iglesias, Emma M.
;
Linton, Oliver
- In:
Econometric theory
23
(
2007
)
6
,
pp. 1136-1161
Persistent link: https://www.econbiz.de/10003591844
Saved in:
40
Mixing properties of a general class of GARCH (1,1) models without moment assumptions on the observed process
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
22
(
2006
)
5
,
pp. 815-834
Persistent link: https://www.econbiz.de/10003379097
Saved in:
41
On the tail behaviors of a family of GARCH processes
Liu, Ji-chun
- In:
Econometric theory
22
(
2006
)
5
,
pp. 852-862
Persistent link: https://www.econbiz.de/10003379105
Saved in:
42
A necessary and sufficient condition for the strict stationarity of a family of GARCH processes
Meitz, Mika
- In:
Econometric theory
22
(
2006
)
5
,
pp. 985-988
Persistent link: https://www.econbiz.de/10003379128
Saved in:
43
A closed-form estimator for the GARCH (1,1) model
Kristensen, Dennis
;
Linton, Oliver
- In:
Econometric theory
22
(
2006
)
2
,
pp. 323-337
Persistent link: https://www.econbiz.de/10003301258
Saved in:
44
Empirical likelihood for GARCH models
Chan, Ngai Hang
;
Ling, Shiqing
- In:
Econometric theory
22
(
2006
)
3
,
pp. 403-428
Persistent link: https://www.econbiz.de/10003307474
Saved in:
45
Testing goodness of fit based on densities of GARCH innovations
Horváth, Lajos
;
Zitikis, Ričardas
- In:
Econometric theory
22
(
2006
)
3
,
pp. 457-482
Persistent link: https://www.econbiz.de/10003307486
Saved in:
46
Automated inference and learning in modeling financial volatility
McAleer, Michael
- In:
Econometric theory
21
(
2005
)
1
,
pp. 232-261
Persistent link: https://www.econbiz.de/10002674705
Saved in:
47
Bivariate ARCH models : finite-sample properties of QML estimators and an application to an LM-type test
Iglesias, Emma M.
;
Phillips, Garry D. A.
- In:
Econometric theory
21
(
2005
)
6
,
pp. 1058-1086
Persistent link: https://www.econbiz.de/10003193549
Saved in:
48
Asymptotics of the QMLE for a class of ARCH(q) models
Kristensen, Dennis
;
Rahbek, Anders
- In:
Econometric theory
21
(
2005
)
5
,
pp. 946-961
Persistent link: https://www.econbiz.de/10003101947
Saved in:
49
Stationarity and memory of ARCH(∞) models
Zaffaroni, Paolo
- In:
Econometric theory
20
(
2004
)
1
,
pp. 147-160
Persistent link: https://www.econbiz.de/10001904870
Saved in:
50
The diffusion limit of a TVP-GQARCH-M(1,1) model
Arvanitis, Stelios
- In:
Econometric theory
20
(
2004
)
1
,
pp. 161-175
Persistent link: https://www.econbiz.de/10001904883
Saved in:
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