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subject:"Estimation theory"
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ECONIS (ZBW)
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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
DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
-
2019
Persistent link: https://www.econbiz.de/10012215175
Saved in:
3
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
-
2018
Persistent link: https://www.econbiz.de/10011992647
Saved in:
4
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:
5
Least squares estimation for Garch (1,1) model with heavy tailed errors
Preminger, Arie
;
Storti, Giuseppe
-
2017
Persistent link: https://www.econbiz.de/10011990826
Saved in:
6
Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.
;
Laurent, Sébastien
;
Violante, …
-
2016
Persistent link: https://www.econbiz.de/10011589493
Saved in:
7
On asymptotic theory for ARCH models
Hafner, Christian M.
;
Preminger, Arie
-
2016
Persistent link: https://www.econbiz.de/10011893997
Saved in:
8
Multiplicative conditional correlation models for realized covariance matrices
Bauwensa, Luc
;
Braione, Manuela
;
Storti, Giuseppe
-
2016
Persistent link: https://www.econbiz.de/10011894432
Saved in:
9
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:
10
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:
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
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:
16
A GARCH (1,1) estimator with (almost) no moment conditions on the error term
Preminger, Arie
(
contributor
);
Storti, Giuseppe
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003375861
Saved in:
17
Asymptotic theory for a factor GARCH model
Hafner, Christian M.
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003375885
Saved in:
18
Deciding between GARCH and stochastic volatility via strong decision rules
Preminger, Arie
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003329726
Saved in:
19
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:
20
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:
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
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:
23
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:
24
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:
25
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:
26
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:
27
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:
28
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:
29
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:
30
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:
31
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:
32
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:
33
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:
34
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:
35
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:
36
Simultaneously modeling conditional heteroskedasticity and scale change
Feng, Yuanhua
- In:
Econometric theory
20
(
2004
)
3
,
pp. 563-596
Persistent link: https://www.econbiz.de/10002068275
Saved in:
37
Asymptotic inference for nonstationary GARCH
Jensen, Søren Tolver
;
Rahbek, Anders
- In:
Econometric theory
20
(
2004
)
6
,
pp. 1203-1226
Persistent link: https://www.econbiz.de/10002424931
Saved in:
38
Asymptotics for GARCH squared residual correlations
Berkes, István
;
Horváth, Lajos
;
Kokoszka, Piotr
- In:
Econometric theory
19
(
2003
)
4
,
pp. 515-540
Persistent link: https://www.econbiz.de/10001777176
Saved in:
39
Estimation of the maximal moment exponent of a GARCH (1,1) sequence
Berkes, István
;
Horváth, Lajos
;
Kokoszka, Piotr
- In:
Econometric theory
19
(
2003
)
4
,
pp. 565-586
Persistent link: https://www.econbiz.de/10001777182
Saved in:
40
Whittle estimation of ARCH models
Giraitis, Liudas
;
Robinson, Peter M.
- In:
Econometric theory
17
(
2001
)
3
,
pp. 608-631
Persistent link: https://www.econbiz.de/10001589340
Saved in:
41
Large sample distribution of weighted sums of ARCH(p) squared residual correlations
Horváth, Lajos
;
Kokoszka, Piotr
- In:
Econometric theory
17
(
2001
)
2
,
pp. 283-295
Persistent link: https://www.econbiz.de/10001568398
Saved in:
42
Consistent estimation in cointegrated vector autoregressive models with nonlinear time trends in cointegrating relations
Saikkonen, Pentti
- In:
Econometric theory
17
(
2001
)
2
,
pp. 296-326
Persistent link: https://www.econbiz.de/10001568399
Saved in:
43
Statistical inference in cointegrated vector autoregressive models with nonlinear time trends in cointegrating relations
Saikkonen, Pentti
- In:
Econometric theory
17
(
2001
)
2
,
pp. 327-356
Persistent link: https://www.econbiz.de/10001568400
Saved in:
44
Estimating weak GARCH representations
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
16
(
2000
)
5
,
pp. 692-728
Persistent link: https://www.econbiz.de/10001533169
Saved in:
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