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Stationarity and memory of ARCH(∞) models
Zaffaroni, Paolo - In: Econometric theory 20 (2004) 1, pp. 147-160
Persistent link: https://www.econbiz.de/10001904870
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Asymptotic theory for spectral density estimates of general multivariate time series
Wu, Wei Biao; Zaffaroni, Paolo - In: Econometric theory 34 (2018) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011950919
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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
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LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES
Phillips, Peter C.B.; Kim, Chang Sik; Bleistein, N.; … - In: Econometric theory 23 (2007) 6, pp. 1233-1247
Persistent link: https://www.econbiz.de/10007869210
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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 (2012) 3, pp. 545-566
Persistent link: https://www.econbiz.de/10010120921
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STATIONARITY AND MEMORY OF ARCH((infinity)) MODELS
Zaffaroni, Paolo - In: Econometric theory 20 (2004) 1, pp. 147-160
Persistent link: https://www.econbiz.de/10006965153