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1
Stationary integrated Arch(∞) and Ar(∞) processes with finite variance
Giraitis, Liudas
;
Surgailis, Donatas
;
Škarnulis, Andrius
- In:
Econometric theory
34
(
2018
)
6
,
pp. 1159-1179
Persistent link: https://www.econbiz.de/10012038038
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
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:
4
QML inference for
volatility
models with covariates
Francq, Christian
;
Le Quyen Thieu
- In:
Econometric theory
35
(
2019
)
1
,
pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
Saved in:
5
Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, microstructure noise and jumps
Koike, Yuta
- In:
Econometric theory
32
(
2016
)
3
,
pp. 533-611
Persistent link: https://www.econbiz.de/10011606815
Saved in:
6
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
Saved in:
7
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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8
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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9
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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10
Consistent covariance matrix estimation for linear processes
Jansson, Michael
- In:
Econometric theory
18
(
2002
)
6
,
pp. 1449-1459
Persistent link: https://www.econbiz.de/10001716914
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