11 results
INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT
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- Journal:
- Econometric Theory , First View
- Published online by Cambridge University Press:
- 12 May 2023, pp. 1-34
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LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS
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- Journal:
- Econometric Theory / Volume 39 / Issue 5 / October 2023
- Published online by Cambridge University Press:
- 21 March 2022, pp. 1067-1092
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COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS
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- Journal:
- Econometric Theory / Volume 37 / Issue 2 / April 2021
- Published online by Cambridge University Press:
- 17 March 2020, pp. 248-280
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QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES
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- Journal:
- Econometric Theory / Volume 35 / Issue 1 / February 2019
- Published online by Cambridge University Press:
- 01 February 2018, pp. 37-72
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QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
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- Journal:
- Econometric Theory / Volume 28 / Issue 1 / February 2012
- Published online by Cambridge University Press:
- 03 August 2011, pp. 179-206
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SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL
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- Journal:
- Econometric Theory / Volume 26 / Issue 4 / August 2010
- Published online by Cambridge University Press:
- 04 November 2009, pp. 965-993
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MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
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- Journal:
- Econometric Theory / Volume 22 / Issue 5 / October 2006
- Published online by Cambridge University Press:
- 30 August 2006, pp. 815-834
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A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE
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- Journal:
- Econometric Theory / Volume 21 / Issue 6 / December 2005
- Published online by Cambridge University Press:
- 23 September 2005, pp. 1165-1171
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COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”
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- Journal:
- Econometric Theory / Volume 18 / Issue 3 / June 2002
- Published online by Cambridge University Press:
- 15 May 2002, pp. 815-818
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Autocovariance structure of powers of switching-regime ARMA Processes
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- Journal:
- ESAIM: Probability and Statistics / Volume 6 / 2002
- Published online by Cambridge University Press:
- 15 November 2002, pp. 259-270
- Print publication:
- 2002
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ESTIMATING WEAK GARCH REPRESENTATIONS
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- Journal:
- Econometric Theory / Volume 16 / Issue 5 / October 2000
- Published online by Cambridge University Press:
- 05 October 2000, pp. 692-728
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