STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
暂无分享,去创建一个
[1] J. Corcoran. Modelling Extremal Events for Insurance and Finance , 2002 .
[2] Piotr Kokoszka,et al. Change-point estimation in ARCH models , 2000 .
[3] Timo Teräsvirta,et al. FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS , 1999, Econometric Theory.
[4] R. Leipus,et al. Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity , 1999 .
[5] Paolo Zaffaroni,et al. Nonlinear time series with long memory: a model for stochastic volatility , 1998 .
[6] F. Breidt,et al. The detection and estimation of long memory in stochastic volatility , 1998 .
[7] Peter M. Robinson,et al. Modelling Nonlinearity and Long Memory in Time Series - (Now published in 'Nonlinear Dynamics and Time Series', C D Cutler and D T Kaplan (eds), Fields Institute Communications, 11 (1997), pp.61-170.) , 1997 .
[8] R. Baillie,et al. Fractionally integrated generalized autoregressive conditional heteroskedasticity , 1996 .
[9] C. Granger,et al. Modeling volatility persistence of speculative returns: A new approach , 1996 .
[10] Richard T. Baillie,et al. Long memory processes and fractional integration in econometrics , 1996 .
[11] PAUL EMBRECHTS,et al. Modelling of extremal events in insurance and finance , 1994, Math. Methods Oper. Res..
[12] M. Dacorogna,et al. A geographical model for the daily and weekly seasonal volatility in the foreign exchange market , 1993 .
[13] P. Bougerol,et al. Stationarity of Garch processes and of some nonnegative time series , 1992 .
[14] Daniel B. Nelson,et al. Inequality Constraints in the Univariate GARCH Model , 1992 .
[15] Richard A. Davis,et al. Time Series: Theory and Methods (2nd ed.). , 1992 .
[16] P. Robinson,et al. Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression , 1991 .
[17] Daniel B. Nelson. Stationarity and Persistence in the GARCH(1,1) Model , 1990, Econometric Theory.
[18] M. B. Priestley,et al. Non-linear and non-stationary time series analysis , 1990 .
[19] T. Bollerslev,et al. ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS , 1988 .
[20] I. Ibragimov,et al. Independent and stationary sequences of random variables , 1971 .
[21] P. Billingsley,et al. Convergence of Probability Measures , 1970, The Mathematical Gazette.
[22] W. Rudin. Real and complex analysis , 1968 .