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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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Tail index of an AR(1) model with ARCH(1) errors
Chan, Ngai Hang; Li, Deyuan; Peng, Liang; Zhang, Rongmao - In: Econometric theory 29 (2013) 5, pp. 920-940
Persistent link: https://www.econbiz.de/10010248321
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On a family of contrasts for parametric inference in degenerate ARCH models
Truquet, Lionel - In: Econometric theory 30 (2014) 6, pp. 1165-1206
Persistent link: https://www.econbiz.de/10010502121
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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
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Prediction errors in nonstationary autoregressions of infinite order
Ing, Ching-kang; Sin, Chor-yiu; Yu, Shu-hui - In: Econometric theory 26 (2010) 3, pp. 774-803
Persistent link: https://www.econbiz.de/10003992431
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Optimal prediction under asymmetric loss
Christoffersen, Peter F. - In: Econometric theory 13 (1997) 6, pp. 808-817
Persistent link: https://www.econbiz.de/10001236164
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Prediction and signal extraction of strongly dependent processes in the frequency domain
Hidalgo, Javier; Yajima, Yasutoshi - In: Econometric theory 18 (2002) 3, pp. 584-624
Persistent link: https://www.econbiz.de/10001673367
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Fast convergence rates in estimating large volatility matrices using high-frequency financial data
Tao, Minjing; Wang, Yazhen; Chen, Xiaohong - In: Econometric theory 29 (2013) 4, pp. 838-856
Persistent link: https://www.econbiz.de/10010210158
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Asymptotically efficient model selection for panel data forecasting
Greenaway-McGrevy, Ryan - In: Econometric theory 35 (2019) 4, pp. 842-899
Persistent link: https://www.econbiz.de/10012386845
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A necessary and sufficient condition for the strict stationarity of a family of GARCH processes
Meitz, Mika - In: Econometric theory 22 (2006) 5, pp. 985-988
Persistent link: https://www.econbiz.de/10003379128