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Signal extraction in long memory stochastic volatility
Arteche, Josu - In: Econometric theory 31 (2015) 6, pp. 1382-1402
Persistent link: https://www.econbiz.de/10011545560
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Exponential realized GARCH-Itô volatility models
Kim, Donggyu - In: Econometric theory 40 (2024) 4, pp. 790-826
Persistent link: https://www.econbiz.de/10015154305
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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
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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
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Efficient estimation of integrated volatility functionals under general volatility dynamics
Li, Jia; Liu, Yunxiao - In: Econometric theory 37 (2021) 4, pp. 664-707
Persistent link: https://www.econbiz.de/10012618196
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Mixing and moment properties of various GARCH and stochastic volatility models
Carrasco, Marine; Chen, Xiaohong - In: Econometric theory 18 (2002) 1, pp. 17-39
Persistent link: https://www.econbiz.de/10001652593
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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
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Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian; Zakoïan, Jean-Michel - In: Econometric theory 39 (2023) 5, pp. 1067-1092
Persistent link: https://www.econbiz.de/10014436596
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A functional version of the ARCH model
Hörmann, Siegfried; Horváth, Lajos; Reeder, Ron - In: Econometric theory 29 (2013) 2, pp. 267-288
Persistent link: https://www.econbiz.de/10009760010
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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