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~person:"Saikkonen, Pentti"
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Search: subject:"generalized autoregressive conditional heteroskedasticity"
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Generalized Autoregressive Conditional Heteroskedasticity
3
Nonlinear Time Series Models
3
Existence of Moments
2
Geometric Ergodicity
2
Markov Models
2
Mixing
2
Nonlinear Autoregression
2
Strict Stationarity
2
Asymptotic Normality
1
Autoregressive Conditional Duration
1
GARCH-in-mean
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Quasi-Maximum Likelihood Estimation
1
Strong Consistency
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Saikkonen, Pentti
Lucas, André
8
Koopman, Siem Jan
6
Franses, Philip Hans
5
Blasques, Francisco
4
Doornik, Jurgen A.
4
Ooms, Marius
4
Dijk, Dick van
3
Meitz, Mika
3
Abaoub, Ezzeddine
2
Akram, Tanweer
2
Ardia, David
2
Baur, Dirk G.
2
Belhaj, Fethi
2
Caporale, Guglielmo Maria
2
Chorro, Christophe
2
Fortin, Ines
2
Francq, Christian
2
Giannarakis, Grigoris
2
Gorgi, Paolo
2
Guégan, Dominique
2
Ielpo, Florian
2
Kumar, Dilip
2
Kuzmics, Christoph
2
Lasak, Katarzyna
2
Maheswaran, S.
2
Pierdzioch, Christian
2
Sariannidis, Nikolaos
2
Schaumburg, Julia
2
van Dijk, Dick
2
Łasak, Katarzyna
2
Abdlaziz, Rizgar Abdlkarim
1
Abdurehman, Abderezak Ali
1
Adamu, Peter
1
Afsal, E. M.
1
Ahmed, Naeem
1
Algaeed, Abdulaziz Hamad
1
Almekinders, Geert J.
1
Ananzeh, Izz Eddien Naif
1
Andres, Peter
1
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Department of Economics, Oxford University
2
İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi
1
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Economics Series Working Papers / Department of Economics, Oxford University
2
Koç University-TUSIAD Economic Research Forum Working Papers
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RePEc
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Parameter estimation in nonlinear AR–GARCH models
Meitz, Mika
;
Saikkonen, Pentti
-
İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi
-
2010
general nonlinear first order
generalized
autoregressive
conditional
heteroskedasticity
(GARCH(1,1)) model. We do not require …
Persistent link: https://www.econbiz.de/10008543443
Saved in:
2
Stability of nonlinear AR-GARCH models
Meitz, Mika
;
Saikkonen, Pentti
-
Department of Economics, Oxford University
-
2007
generalized
autoregressive
conditional
heteroskedasticity
(GARCH(1,1)) model. Conditions under which the model is stable in the …
Persistent link: https://www.econbiz.de/10004977882
Saved in:
3
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
Meitz, Mika
;
Saikkonen, Pentti
-
Department of Economics, Oxford University
-
2007
to a general model which includes as special cases various first order
generalized
autoregressive
conditional
…
heteroskedasticity
(GARCH) and autoregressive conditional duration (ACD) models with possibly complicated non-linear structures. The …
Persistent link: https://www.econbiz.de/10005047884
Saved in:
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