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There are 1537 results for: content related to: References

  1. You have free access to this content
    Bibliography

    Handbook of Volatility Models and Their Applications

    Luc Bauwens, Christian Hafner, Sebastien Laurent, Pages: 487–535, 2012

    Published Online : 27 MAR 2012, DOI: 10.1002/9781118272039.biblio

  2. Optimal predictions of powers of conditionally heteroscedastic processes

    Journal of the Royal Statistical Society: Series B (Statistical Methodology)

    Volume 75, Issue 2, March 2013, Pages: 345–367, Christian Francq and Jean-Michel Zakoïan

    Article first published online : 12 OCT 2012, DOI: 10.1111/j.1467-9868.2012.01045.x

  3. You have free access to this content
    References

    ARCH Models for Financial Applications

    Evdokia Xekalaki, Stavros Degiannakis, Pages: 479–520, 2010

    Published Online : 31 MAR 2010, DOI: 10.1002/9780470688014.refs

  4. A Model Specification Test For GARCH(1,1) Processes

    Scandinavian Journal of Statistics

    Anne Leucht, Jens-Peter Kreiss and Michael H. Neumann

    Article first published online : 1 MAY 2015, DOI: 10.1111/sjos.12158

  5. Tests for Volatility Shifts in Garch Against Long-Range Dependence

    Journal of Time Series Analysis

    Volume 36, Issue 2, March 2015, Pages: 127–153, Taewook Lee, Moosup Kim and Changryong Baek

    Article first published online : 14 OCT 2014, DOI: 10.1111/jtsa.12098

  6. Inference for Box–Cox Transformed Threshold GARCH Models with Nuisance Parameters

    Scandinavian Journal of Statistics

    Volume 39, Issue 3, September 2012, Pages: 568–589, SANGYEOL LEE and TAEWOOK LEE

    Article first published online : 20 JUN 2012, DOI: 10.1111/j.1467-9469.2012.00805.x

  7. Normal Mixture Quasi-maximum Likelihood Estimator for GARCH Models

    Scandinavian Journal of Statistics

    Volume 36, Issue 1, March 2009, Pages: 157–170, TAEWOOK LEE and SANGYEOL LEE

    Article first published online : 29 SEP 2008, DOI: 10.1111/j.1467-9469.2008.00624.x

  8. Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes

    Journal of Time Series Analysis

    Volume 30, Issue 1, January 2009, Pages: 19–46, Abdelhakim Aknouche and Abdelouahab Bibi

    Article first published online : 25 NOV 2008, DOI: 10.1111/j.1467-9892.2008.00598.x

  9. GARCH Models for Commodity Markets

    Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management

    Eduardo Rossi, Filippo Spazzini, Pages: 687–753, 2015

    Published Online : 27 FEB 2015, DOI: 10.1002/9781119011590.ch15

  10. Modelling Regime-Specific Stock Price Volatility

    Oxford Bulletin of Economics and Statistics

    Volume 71, Issue 6, December 2009, Pages: 761–797, Carol Alexander and Emese Lazar

    Article first published online : 28 JUL 2009, DOI: 10.1111/j.1468-0084.2009.00563.x

  11. A Family of Markov-Switching Garch Processes

    Journal of Time Series Analysis

    Volume 33, Issue 6, November 2012, Pages: 892–902, Ji-Chun Liu

    Article first published online : 6 JUN 2012, DOI: 10.1111/j.1467-9892.2012.00804.x

  12. Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified

    Journal of Time Series Analysis

    Mohamed El Ghourabi, Christian Francq and Fedya Telmoudi

    Article first published online : 8 MAY 2015, DOI: 10.1111/jtsa.12136

  13. Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models

    Econometrica

    Volume 80, Issue 2, March 2012, Pages: 821–861, Christian Francq and Jean-Michel Zakoïan

    Article first published online : 16 MAR 2012, DOI: 10.3982/ECTA9405

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    Multivariate variance targeting in the BEKK–GARCH model

    The Econometrics Journal

    Volume 17, Issue 1, February 2014, Pages: 24–55, Rasmus S. Pedersen and Anders Rahbek

    Article first published online : 21 JAN 2014, DOI: 10.1111/ectj.12019

  15. Garch Models

    Standard Article

    Encyclopedia of Quantitative Finance

    Timo Teräsvirta

    Published Online : 15 MAY 2010, DOI: 10.1002/9780470061602.eqf19018

  16. Structure and estimation of a class of nonstationary yet nonexplosive GARCH models

    Journal of Time Series Analysis

    Volume 31, Issue 5, September 2010, Pages: 348–364, Nazim Regnard and Jean-Michel Zakoïan

    Article first published online : 11 JUL 2010, DOI: 10.1111/j.1467-9892.2010.00669.x

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    Semiparametric Time Series Models with Log-concave Innovations: Maximum Likelihood Estimation and its Consistency

    Scandinavian Journal of Statistics

    Volume 42, Issue 1, March 2015, Pages: 1–31, Yining Chen

    Article first published online : 23 APR 2014, DOI: 10.1111/sjos.12092

  18. Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model

    Scandinavian Journal of Statistics

    Volume 40, Issue 4, December 2013, Pages: 846–867, Olivier Wintenberger

    Article first published online : 14 OCT 2013, DOI: 10.1111/sjos.12038

  19. Quantile Regression Estimator for GARCH Models

    Scandinavian Journal of Statistics

    Volume 40, Issue 1, March 2013, Pages: 2–20, SANGYEOL LEE and JUNGSIK NOH

    Article first published online : 26 JAN 2012, DOI: 10.1111/j.1467-9469.2011.00759.x

  20. Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models

    Journal of Time Series Analysis

    Volume 32, Issue 6, November 2011, Pages: 699–723, Christian Francq, Roch Roy and Abdessamad Saidi

    Article first published online : 28 MAR 2011, DOI: 10.1111/j.1467-9892.2011.00728.x